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International Financial Integration and Consumption Risk Sharing

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  • Aidan Corcoran

Abstract

This paper tests the importance of international financial assets and liabilities for consumption risk sharing in a general framework which allows for separate effects of equity and debt holdings as well as country-specific sensitivity to aggregate risk. Integration into both the international equity and debt markets is found to be an important determinant of risk sharing for OECD countries over the period 1987-2004, while integration into international equity markets is found to be a robust determinant of risk sharing for emerging and developing countries over the period 1987-2003.

Suggested Citation

  • Aidan Corcoran, 2008. "International Financial Integration and Consumption Risk Sharing," The Institute for International Integration Studies Discussion Paper Series iiisdp241, IIIS.
    • Handle: RePEc:iis:dispap:iiisdp241
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    Cited by:

    1. Melitz, Jacques & Christev, Atanas, 2010. "EMU, EU, capital market integration and consumption smoothing," CEPR Discussion Papers 7776, C.E.P.R. Discussion Papers.
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    3. Pierre-Richard Agénor, 2015. "L’intégration financière internationale : Théories, évidences, et leçons des expériences récentes [International financial integration: Theory, evidence and lessons from recent experiences]," Research papers & Policy papers 1508, Policy Center for the New South.
    4. Fratzscher, Marcel & Imbs, Jean, 2009. "Risk sharing, finance, and institutions in international portfolios," Journal of Financial Economics, Elsevier, vol. 94(3), pages 428-447, December.
    5. Agustin S. Benetrix, 2015. "International Risk Sharing and the Irish Economy," The Economic and Social Review, Economic and Social Studies, vol. 46(1), pages 29-49.
    6. Malin Gardberg, 2016. "Determinants of International Consumption Risk Sharing in Emerging Markets and Developing Countries," EcoMod2016 9452, EcoMod.
    7. Nnyanzi John Bosco, 2016. "Trade Openness and Risk Sharing in Sub-Saharan Africa: Do Institutions and Financial Depth Matter?," Global Economy Journal, De Gruyter, vol. 16(1), pages 161-187, March.
    8. John Bosco Nnyanzi, 2015. "Financial Openness, Capital Flows and Risk Sharing in Africa," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 15(1), pages 51-82, March.
    9. Malin Gardberg, 2022. "Financial reforms and low‐income households' impact on international consumption risk sharing," International Finance, Wiley Blackwell, vol. 25(3), pages 375-395, December.
    10. Robert P. Flood & Nancy P. Marion & Akito Matsumoto, 2012. "International risk sharing during the globalization era," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(2), pages 394-416, May.

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