Why do stocks and consumption imply such different gains from international risk sharing?

• 成果类型: Article
• 署名作者: Lewis, KK
• 署名单位: University of Pennsylvania; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(99)00027-6
• 发表日期: 2000
• 页码: 1-35
• 关键词: International risk sharing; stock returns; consumption

摘要

Estimates of the gains to international risk-sharing based upon stock returns tend to find dramatically higher gains than do estimates from consumption-based models. In this paper, I examine the reasons for these differences. Using a common theoretical framework for both approaches, I find that the differences are largely due to the much higher variability of stock returns and its implied intertemporal substitution in marginal utility. Also, contrary to conventional wisdom, the differences in gains from the two approaches do not arise from treating stock returns as exogenous rather than endogenous. (C) 2000 Elsevier Science B.V. All rights reserved.