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Consumption, Stock Returns, and the Gains from International Risk-Sharing

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  • Lewis, K.K.
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    Abstract

    The structure of this paper is as follows. in section 1, I describe the welfare gain function. In section 2, I use stock returns for the G-7 countries to examine stock returns using standard mean- variance analysis. In section 3, I develop a single general equilibrium framework for examining risk-sharing based upon consumption. I then incorporate stock return data to calculate general equilibrium gains in section 4. In section 5, I use the expected stock returns to back out the implied utility parameters. With these values, I re-examine the welfare costs. Concluding remarks follow.

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    Bibliographic Info

    Paper provided by Wharton School - Weiss Center for International Financial Research in its series Weiss Center Working Papers with number 96-4.

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    Length: 30 pages
    Date of creation: 1996
    Date of revision:
    Handle: RePEc:fth:pennif:96-4

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    Keywords: STOCK MARKET; SHARES; INTERNATIONAL FINANCE; CONSUMPTION; RISK;

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    Cited by:
    1. Auray, Stéphane & Eyquem, Aurélien & Poutineau, Jean-Christophe, 2010. "The Welfare Gains Of Trade Integration In The European Monetary Union," Macroeconomic Dynamics, Cambridge University Press, vol. 14(05), pages 645-676, November.
    2. Pang, Ke, 2013. "Financial integration, nominal rigidity, and monetary policy," International Review of Economics & Finance, Elsevier, vol. 25(C), pages 75-90.
    3. Imbs, Jean & Mauro, Paolo, 2007. "Pooling Risk Among Countries," CEPR Discussion Papers 6461, C.E.P.R. Discussion Papers.
    4. Mirakhor, Abbas, 2007. "Islamic Finance and Globalization: A Convergence?," MPRA Paper 56026, University Library of Munich, Germany.
    5. Patrick F. Rowland & Linda L. Tesar, 2004. "Multinationals and the Gains from International Diversification," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(4), pages 789-826, October.
    6. Stefano G. Athanasoulis & Robert J. Shiller, 2001. "World Income Components: Measuring and Exploiting Risk-Sharing Opportunities," American Economic Review, American Economic Association, vol. 91(4), pages 1031-1054, September.

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