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Risk sharing for the long-run. The benefits from financial integration

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  • Croce

    (Mariano M. University of North Carolina at Chapel Hill.)

  • Colacito

    (Riccardo. University of North Carolina at Chapel Hill.)

Abstract

of the resolution of uncertainty combined with endowments containing a slowly moving trend can result in extremely high welfare gains. The model is also able to account for a large set of international finance stylized facts. Our setup allows us to bridge part of the gap between the current finance and international macroeconomic literatures.

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Bibliographic Info

Paper provided by Society for Economic Dynamics in its series 2008 Meeting Papers with number 985.

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Date of creation: 2008
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Handle: RePEc:red:sed008:985

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Postal: Society for Economic Dynamics Christian Zimmermann Economic Research Federal Reserve Bank of St. Louis PO Box 442 St. Louis MO 63166-0442 USA
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  1. Wincoop, Eric van, 1994. "Welfare gains from international risksharing," Journal of Monetary Economics, Elsevier, Elsevier, vol. 34(2), pages 175-200, October.
  2. TallariniJr., Thomas D., 2000. "Risk-sensitive real business cycles," Journal of Monetary Economics, Elsevier, Elsevier, vol. 45(3), pages 507-532, June.
  3. Ravi Bansal & Amir Yaron, 2000. "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles," NBER Working Papers 8059, National Bureau of Economic Research, Inc.
  4. Ammer, John & Mei, Jianping, 1996. " Measuring International Economic Linkages with Stock Market Data," Journal of Finance, American Finance Association, American Finance Association, vol. 51(5), pages 1743-63, December.
  5. Lars Peter Hansen & Ravi Jagannathan, 1990. "Implications of security market data for models of dynamic economies," Discussion Paper / Institute for Empirical Macroeconomics, Federal Reserve Bank of Minneapolis 29, Federal Reserve Bank of Minneapolis.
  6. Riccardo Colacito & Mariano Croce, 2005. "Risks For The Long Run And The Real Exchange Rate," 2005 Meeting Papers, Society for Economic Dynamics 794, Society for Economic Dynamics.
  7. Obstfeld, Maurice, 1998. "The Global Capital Market: Benefactor or Menace?," Center for International and Development Economics Research, Working Paper Series, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkele qt3kn3n2s8, Center for International and Development Economics Research, Institute for Business and Economic Research, UC Berkeley.
  8. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, Elsevier, vol. 125(2), pages 93-150, December.
  9. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, Econometric Society, vol. 57(4), pages 937-69, July.
  10. Baxter, Marianne, 1995. "International trade and business cycles," Handbook of International Economics, Elsevier, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 35, pages 1801-1864 Elsevier.
  11. Baxter, M., 1994. "International Trade and Business Cycles," RCER Working Papers, University of Rochester - Center for Economic Research (RCER) 390, University of Rochester - Center for Economic Research (RCER).
  12. Karen K. Lewis, 1999. "Trying to Explain Home Bias in Equities and Consumption," Journal of Economic Literature, American Economic Association, American Economic Association, vol. 37(2), pages 571-608, June.
  13. David K. Backus & Gregor W. Smith, 1992. "Consumption and Real Exchange Rates in Dynamic Exchange Economies with Nontraded Goods," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 92-7, New York University, Leonard N. Stern School of Business, Department of Economics.
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