International Consumption Risk Sharing
This paper formally examines the implications of international consumption risk sharing for a panel of industrialized countries. The authors theoretically derive the international consumption insurance proposition in a simple setup and show how to modify it in more complicated models. They analyze the implications of the theory for pairs of countries and find that aggregate domestic consumption is almost completely insured against idiosyncratic real, demographic, fiscal, and monetary shocks over short cycles but that it covaries with these variables over medium and long cycles. The cross equation restrictions imposed by the theory are rejected. The policy implications are discussed. Copyright 1996 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
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Volume (Year): 37 (1996)
Issue (Month): 3 (August)
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- Stock, James H. & Watson, Mark W., 1989. "Interpreting the evidence on money-income causality," Journal of Econometrics, Elsevier, vol. 40(1), pages 161-181, January.
- Andrew Atkeson & Tamim Bayoumi, 1993. "Do private capital markets insure regional risk? Evidence from the United States and Europe," Open Economies Review, Springer, vol. 4(3), pages 303-324, September.
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