Evaluating international consumption risk sharing gains: An asset return view

• 成果类型: Article
• 署名作者: Lewis, Karen K.; Liu, Edith X.
• 署名单位: University of Pennsylvania; National Bureau of Economic Research; Cornell University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.11.010
• 发表日期: 2015
• 页码: 84-98
• 关键词: financial integration; International risk sharing; Global asset pricing

摘要

International consumption risk sharing studies often generate counterfactual implications for asset return behavior with potentially misleading results. We address this contradiction using data moments of consumption and asset returns to fit a canonical international consumption risk sharing framework. Introducing persistent consumption risk, we find that its correlation across countries is more important for risk sharing than that of transitory risk. To identify these risk components, we jointly exploit the comovement of equity returns and consumption. This identification implies high correlations in persistent consumption risk, suggesting a strong degree of existing risk sharing despite low consumption correlations in the data. (C) 2014 Elsevier B.V. All rights reserved.