International risk sharing in the short run and in the long run

Becker, Sascha O. and Hoffmann, Mathias (2001) International risk sharing in the short run and in the long run. Southampton, UK, University of Southampton, 21pp. (Discussion Papers in Economics and Econometrics 0102).


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Using a panel of 23 industrialised countries, the paper investigates how short-run and long-run income risks are shared and how the source of uncertainty matters for the way this risk gets insured. Surprisingly, short-term and long-term output risks are found to be equally well insured. Transitory shocks get smoothed almost completely whereas permanent shocks remain 80 percent uninsured. We find a somewhat more important role for international capital markets than earlier studies. Whereas our results tie in with some recent theoretical insights and are consistent with empirical findings on home bias in international portfolios, they raise the question why permanent shocks are so hard to insure internationally.

Item Type: Monograph (Discussion Paper)
Related URLs:
Keywords: international consumption risk sharing, European integration, panel data, panel vector autoregressions
Subjects: H Social Sciences > HC Economic History and Conditions
J Political Science > JZ International relations
Divisions : University Structure - Pre August 2011 > School of Social Sciences > Economics
ePrint ID: 33096
Accepted Date and Publication Date:
2001Made publicly available
Date Deposited: 18 May 2006
Last Modified: 27 Mar 2014 18:20

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