Capital Mobility and International Sharing of Cyclical Risk
AbstractThis paper investigates whether the international globalization of financial markets allows for significant cross-country risk-sharing at the business cycle frequency. We find that cross-country risk-sharing is still limited and this is unlikely to be the result of financial frictions that limit state-contingent contracts. Part of the limited international risk sharing could be the consequence of frictions that de-facto reduce the short-term mobility of financial capital. But even with these frictions we find significant divergence between model predictions and the data.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 18372.
Date of creation: Sep 2012
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Other versions of this item:
- Bengui, Julien & Mendoza, Enrique G. & Quadrini, Vincenzo, 2013. "Capital mobility and international sharing of cyclical risk," Journal of Monetary Economics, Elsevier, vol. 60(1), pages 42-62.
- F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
- F44 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Business Cycles
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-09-16 (All new papers)
- NEP-BEC-2012-09-16 (Business Economics)
- NEP-DGE-2012-09-16 (Dynamic General Equilibrium)
- NEP-IFN-2012-09-16 (International Finance)
- NEP-OPM-2012-09-16 (Open Economy Macroeconomic)
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