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Risk sharing by households within and across regions and industries

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Author Info
Gregory D. Hess
Kwanho Shin

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Abstract

Cochrane (1991) and Mace (1991) test if risk sharing across households is complete in the sense that household consumption moves one-for-one with aggregate consumption. In their studies the source of income risk is idiosyncratic, and agents can share risk across the entire economy. Using a sample of households from the Panel Study on Income Dynamics (PSID), we explore whether individuals diversify the risk associated within their industries and regions, as well as across industries and regions. We find that there is stronger evidence of within region and industry risk sharing than across region and industry risk sharing. In neither case, however, is the risk sharing complete.

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Paper provided by Federal Reserve Bank of Kansas City in its series Research Working Paper with number 97-07.

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Date of creation: 1997
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Handle: RePEc:fip:fedkrw:97-07

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  1. Sebnem Kalemi-Ozcan & Bent E. Sorensen & Oved Yosha, 2000. "Risk Sharing and Sectoral Specialization: Regional and International Evidence," Econometric Society World Congress 2000 Contributed Papers 1582, Econometric Society. [Downloadable!]
  2. Fatih Guvenen, 2005. "Do Stockholders Share Risk More Effectively Than Non- stockholders?," Macroeconomics 0508006, EconWPA. [Downloadable!]
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  3. Stafano Athanasoulis & Eric van Wincoop, 1998. "Risksharing within the United States: what have financial markets and fiscal federalism accomplished?," Research Paper 9808, Federal Reserve Bank of New York. [Downloadable!]
  4. Heinemann, Friedrich & Schüler , Martin, 2002. "How integrated are the European retail financial markets? : A cointegration analysis," ZEW Discussion Papers 02-22, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
  5. Sebnem Kalemli-Ozcan & Bent E. Sorensen & Oved Yosha, 2000. "Risk sharing and industrial specialization ; regional and international evidence," Research Working Paper RWP 00-06, Federal Reserve Bank of Kansas City. [Downloadable!]
    Other versions:
  6. Stephane Pallage & Michel A. Robe, 2002. "The States vs. the states: On the Welfare Cost of Business Cycles in the U.S," Cahiers de recherche du Département des sciences économiques, UQAM 20-17, Université du Québec à Montréal, Département des sciences économiques, revised Oct 2002. [Downloadable!]
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  7. George M. Korniotis & Alok Kumar, 2008. "Do behavioral biases adversely affect the macro-economy?," Finance and Economics Discussion Series 2008-49, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  8. Mete Feridun, 2006. "An Investigation Of The German Dominance Hypothesis In The Context Of Eastern Enlargement Of The Eu," Prague Economic Papers, University of Economics, Prague, vol. 2006(2), pages 172-182. [Downloadable!] (restricted)
  9. Sascha O. Becker & Mathias Hoffmann, 2008. "Equity Fund Ownership and the Cross-Regional Diversification of Household Risk," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  10. Claudia M. Buch, 2000. "Financial Market Integration in the US: Lessons for Europe?," Kiel Working Papers 1004, Kiel Institute for the World Economy. [Downloadable!]
  11. Barbara Pfeffer, 2008. "Do regional Trade and Specialization drive intra-regional Risk-Sharing?," MAGKS Papers on Economics 200813, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung). [Downloadable!]
  12. Claudia M. Buch, 2001. "Financial Market Integration in a Monetary Union," Kiel Working Papers 1062, Kiel Institute for the World Economy. [Downloadable!]
  13. M. Fatih Guvenen, 2002. "Does Stockholding Provide Perfect Risk Sharing?," RCER Working Papers 490, University of Rochester - Center for Economic Research (RCER), revised Mar 2003. [Downloadable!]
    Other versions:
  14. Crucini, Mario J & Hess, Gregory D, 1999. "International and Intranational Risk Sharing," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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