Consumption risk sharing and adjustment costs
We show that full risk sharing may not be at odd with the idea that changes in regional consumption display error-correcting dynamics, in line with the idea that information and transaction costs stemming from interregional portfolio diversification and labor movements induced by permanent income shocks may delay the adjustment process. Using Italian data over the period 1960-2001 it is found that regional per capita consumptions match the proposed error-correcting structure.
|Date of creation:||Oct 2004|
|Date of revision:||Nov 2006|
|Contact details of provider:|| Postal: |
Web page: http://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jeffrey C. Fuhrer & Michael W. Klein, 1998.
"Risky Habits: On Risk Sharing, Habit Formation, and the Interpretation of International Consumption Correlations,"
NBER Working Papers
6735, National Bureau of Economic Research, Inc.
- Jeffrey C. Fuhrer & Michael W. Klein, 2006. "Risky Habits: on Risk Sharing, Habit Formation, and the Interpretation of International Consumption Correlations," Review of International Economics, Wiley Blackwell, vol. 14(4), pages 722-740, 09.
- Robert Kollmann, 1995.
"Consumption, real exchange rates and the structure of international asset markets,"
ULB Institutional Repository
2013/7642, ULB -- Universite Libre de Bruxelles.
- Kollmann, Robert, 1995. "Consumption, real exchange rates and the structure of international asset markets," Journal of International Money and Finance, Elsevier, vol. 14(2), pages 191-211, April.
- Kollmann, R., 1992. "Consumption, Real Exchange Rates and the Structure of International Asset Markets," Cahiers de recherche 9232, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Kollmann, R., 1992. "Consumption, Real Exchange Rates and the Structure of International Asset Markets," Cahiers de recherche 9232, Universite de Montreal, Departement de sciences economiques.
- Binder,M. & Pesaran,H.M., 1995.
"Multivariate Rational Expectations Models and Macroeconomic Modelling: A Review and Some New Results,"
Cambridge Working Papers in Economics
9415, Faculty of Economics, University of Cambridge.
- Michael Binder & M. Hashem Pesaran, 1994. "GAUSS and Matlab codes for Multivariate Rational Expectations Models and Macroeconometric Modelling: A Review and Some New Results," QM&RBC Codes 74, Quantitative Macroeconomics & Real Business Cycles.
- Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini, 2008.
"International dynamic risk sharing,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 23(1), pages 1-16.
- Karen K. Lewis, 1999. "Trying to Explain Home Bias in Equities and Consumption," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 571-608, June.
- Attfield, C. L. F., 1995. "A Bartlett adjustment to the likelihood ratio test for a system of equations," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 207-223.
- Fabio Canova & Morten O. Ravn, 1993.
"International consumption risk sharing,"
Economics Working Papers
135, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 1995.
- Cavaliere, Giuseppe & Fanelli, Luca & Gardini, Attilio, 2006. "Regional consumption dynamics and risk sharing in Italy," International Review of Economics & Finance, Elsevier, vol. 15(4), pages 525-542.
- Ravn, Morten O, 2001. "Consumption Dynamics and Real Exchange Rate," CEPR Discussion Papers 2940, C.E.P.R. Discussion Papers.
- Luca Fanelli, 2006. "Dynamic adjustment cost models with forward-looking behaviour," Econometrics Journal, Royal Economic Society, vol. 9(1), pages 23-47, 03.
- Maurice Obstfeld., 1993.
"Are Industrial-Country Consumption Risks Globally Diversified?,"
Center for International and Development Economics Research (CIDER) Working Papers
C93-014, University of California at Berkeley.
- Maurice Obstfeld, 1993. "Are Industrial-Country Consumption Risks Globally Diversified?," NBER Working Papers 4308, National Bureau of Economic Research, Inc.
- Luca Dedola & Stefano Usai & Marco Vannini, 1999. "An assessment of regional risk sharing in Italy and the United Kingdom," Chapters, in: Economic Growth and Change, chapter 15 Edward Elgar.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:1641. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.