Growth uncertainty and risksharing

• 成果类型: Article
• 署名作者: Athanasoulis, SG; van Wincoop, E
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Yale University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(00)00003-9
• 发表日期: 2000
• 页码: 477-505
• 关键词: risksharing; RISK; welfare; GROWTH

摘要

We propose a new methodology to evaluate the gains from global risksharing that is closely connected to the empirical growth literature. We obtain estimates of diversifiable growth uncertainty at various horizons from regressions of country-specific deviations from world growth on a wide set of variables in the information set. This is used to obtain a measure of the welfare gain from risksharing for a representative country. We find large benefits from risksharing. The gain for a 35-year horizon, corresponding to a welfare equivalent permanent increase in consumption, is 6.6% when based on a set of 49 countries, and 1.5% when based on 21 OECD countries. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: F41; G15.