Capital market integration and consumption risk sharing over the long run

• 成果类型: Article
• 署名作者: Rangvid, Jesper; Santa-Clara, Pedro; Schmeling, Maik
• 署名单位: Copenhagen Business School; Universidade Nova de Lisboa; City St Georges, University of London
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2016.08.001
• 发表日期: 2016
• 页码: 27-43
• 关键词: market integration; Consumption risk sharing; Long-run international data

摘要

We empirically investigate time variation in capital market integration and consumption risk sharing using data for 16 countries from 1875 to 2012. We show that there has been considerable variation over time in the degrees of capital market integration and consumption risk sharing and that higher capital market integration forecasts more consumption risk sharing in the future. This finding is robust to controlling for trade openness and exchange rate volatility as alternative drivers of risk sharing. Finally, we calculate the welfare costs of imperfect consumption risk sharing and find that these costs vary over time, line up with variation in risk sharing, and are quite substantial during periods of low risk sharing. (C) 2016 Elsevier B.V. All rights reserved.