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A note on risk sharing against idiosyncratic shocks and geographic mobility in Japan

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  • Yamada, Tomoaki

Abstract

In this study, using Japanese household panel data, we analyze how well idiosyncratic income risks are shared by regions. We find that geographic mobility influences individual consumption growth rates, suggesting that complete asset markets fail to exist. We reject the full insurance hypothesis for both urban and rural areas and find that the extent of risk sharing differs significantly by region.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 54886.

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Date of creation: 28 Mar 2014
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Handle: RePEc:pra:mprapa:54886

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Keywords: Risk sharing; Consumption insurance; Geographic mobility;

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  1. Fatih Guvenen, 2011. "Macroeconomics with hetereogeneity : a practical guide," Economic Quarterly, Federal Reserve Bank of Richmond, Federal Reserve Bank of Richmond, issue 3Q, pages 255-326.
  2. Kohara, Miki & Ohtake, Fumio & Saito, Makoto, 2002. "A Test of the Full Insurance Hypothesis: The Case of Japan," Journal of the Japanese and International Economies, Elsevier, vol. 16(3), pages 335-352, September.
  3. Michael Artis & Toshihiro Okubo, 2010. "The Intranational Business Cycle in Japan," Discussion Paper Series, Research Institute for Economics & Business Administration, Kobe University DP2010-19, Research Institute for Economics & Business Administration, Kobe University.
  4. Hess, Gregory D. & Shin, Kwanho, 2000. "Risk sharing by households within and across regions and industries," Journal of Monetary Economics, Elsevier, Elsevier, vol. 45(3), pages 533-560, June.
  5. Sam Schulhofer-Wohl, 2011. "Heterogeneity and Tests of Risk Sharing," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 119(5), pages 925 - 958.
  6. Hayashi, Fumio & Altonji, Joseph & Kotlikoff, Laurence, 1996. "Risk-Sharing between and within Families," Econometrica, Econometric Society, Econometric Society, vol. 64(2), pages 261-94, March.
  7. Martin Ravallion & Shubham Chaudhuri, 1997. "Risk and Insurance in Village India: Comment," Econometrica, Econometric Society, Econometric Society, vol. 65(1), pages 171-184, January.
  8. Mace, Barbara J, 1991. "Full Insurance in the Presence of Aggregate Uncertainty," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 99(5), pages 928-56, October.
  9. Maurizio Mazzocco & Shiv Saini, 2012. "Testing Efficient Risk Sharing with Heterogeneous Risk Preferences," American Economic Review, American Economic Association, American Economic Association, vol. 102(1), pages 428-68, February.
  10. Yamada, Tomoaki, 2013. "Cross-sectional Facts in Japan using Keio Household Panel Survey," MPRA Paper 49813, University Library of Munich, Germany.
  11. Cochrane, John H, 1991. "A Simple Test of Consumption Insurance," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 99(5), pages 957-76, October.
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