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Cross-Country Consumption Risk Sharing, a Long-Run Perspective

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  • Zhaogang Qiao
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    Abstract

    This paper estimates an empirical nonstationary panel regression model that tests long-run consumption risk sharing across a sample of OECD and emerging market (EM) countries. This is in contrast to the existing literature on consumption risk sharing, which is mainly about risks at business cycle frequency. Since our methodology focuses on identifying cointegrating relationships while allowing for arbitrary short-run dynamics, we can obtain a consistent estimate of long-run risk sharing while disregarding any short-run nuisance factors. Our results show that long-run risk sharing in OECD countries increased more than that in EM countries during the past two decades.

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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=23689
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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 10/64.

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    Length: 46
    Date of creation: 01 Mar 2010
    Date of revision:
    Handle: RePEc:imf:imfwpa:10/64

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    Related research

    Keywords: Economic models; Emerging markets; Financial risk; OECD; risk sharing; equation; time series; cointegration; statistic; correlation; statistics; covariance; martingale; econometrics; consistent estimate; correlations; finite sample; sample selection; moral hazard; prediction; asymptotic distribution; time series analysis; simulation results; orthogonality; standard errors; random walk; random coefficient; central limit theorem; survey; estimation procedure; equation system; samples; instrumental variables; monte carlo simulation; arbitrage; economic risks; outlier; data analysis; integral; factor analysis; explanatory power; sampling; maximum likelihood method; sample size; predictions; random variables; vector autoregression; statistical inference; moral hazards; insurance contracts; monte carlo simulations; consistent estimator; linear regression; equations; simulation model;

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