Risk sharing of disaggregate macroeconomic and idiosyncratic shocks
AbstractComparing the degree to which idiosyncratic and disaggregate macro shocks (such as regional and industry shocks) are not shared in the economy provides greater understanding of why the economy lacks risk-sharing arrangements in specific areas and can suggest areas where the economy’s risk-sharing capability could be enhanced. The authors find that a negligible amount of risk (around 10 percent) is shared in the aggregate, about 50 percent is shared within regions and industries, while the remaining 40 percent is not shared with other households. These findings suggest that given the low level of international risk sharing, greater international integration may not increase international risk sharing significantly.
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Bibliographic InfoPaper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number 9915.
Date of creation: 1999
Date of revision:
Other versions of this item:
- Hess, G.D. & Shin, K., 1999. "Risk Sharing of Disaggregate Macroeconomic and Idiosyncratic Shocks," Papers, London School of Economics - Centre for Labour Economics 9915, London School of Economics - Centre for Labour Economics.
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
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- Gregory D. Hess & Kwanho Shin, 1997. "Risk sharing by households within and across regions and industries," Research Working Paper, Federal Reserve Bank of Kansas City 97-07, Federal Reserve Bank of Kansas City.
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