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Capital Market Integration and Consumption Risk Sharing Over the Long Run

2016
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Release : 2016
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Book Synopsis Capital Market Integration and Consumption Risk Sharing Over the Long Run by : Jesper Rangvid

Download or read book Capital Market Integration and Consumption Risk Sharing Over the Long Run written by Jesper Rangvid. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Essays on Consumption Risk-sharing in Emerging Economies

2012
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Release : 2012
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Book Synopsis Essays on Consumption Risk-sharing in Emerging Economies by : Samreen Malik

Download or read book Essays on Consumption Risk-sharing in Emerging Economies written by Samreen Malik. This book was released on 2012. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contributes to the growing literature of international finance on capital market integration and consumption risk sharing in emerging economies. I identify threshold effects in terms of financial market integration to demarcate regimes with varying extent of international risk sharing in emerging economies. In Chapter 2, I study a model of a small open economy to see how default decisions affect incentives for international consumption risk-sharing based on varying levels of debt to capital ratio in emerging economies while in Chapter 3, I employ a novel endogenous threshold identification method developed by Hansen (1999) for balanced panels, to empirically identify threshold effects of capital market integration on consumption risk-sharing in emerging economies. Finally in Chapter 4, I study the determinants of the capital market integration via level and composition of foreign assets held by emerging economies, exploiting temporal and cross-sectional variation in a panel data set of 37 emerging economies from 1970 - 2007.

Global Capital Markets

2004 Business & Economics
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Release : 2004
Genre : Business & Economics
Kind : eBook
Book Rating : 798/5 ( reviews)

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Book Synopsis Global Capital Markets by : Maurice Obstfeld

Download or read book Global Capital Markets written by Maurice Obstfeld. This book was released on 2004. Available in PDF, EPUB and Kindle. Book excerpt: This book is an economic survey of international capital mobility from the late nineteenth century to the present.

The Integration of World Capital Markets

1993-12-01 Business & Economics
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Release : 1993-12-01
Genre : Business & Economics
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Book Rating : 39X/5 ( reviews)

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Book Synopsis The Integration of World Capital Markets by : Mr.Michael Mussa

Download or read book The Integration of World Capital Markets written by Mr.Michael Mussa. This book was released on 1993-12-01. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the extent to which national capital markets have become linked, and identifies several of the more important consequences of that increased degree of integration. Alternative approaches to the measurement of capital market integration are reviewed, including deviations from the law of one price, differences between actual and optimally diversified portfolios, correlations between domestic investment and domestic saving, and cross-country links in consumption behavior. Two recent episodes of large-scale international capital flows—namely, the turmoil in the European Monetary System in the fall of 1992, and the surge of capital inflows into Latin America during the last three years—are examined for insights into the workings of today’s global capital market. Finally, the paper offers some concluding remarks on the future development of international capital markets, on exchange rate management, on alternative approaches to living with larger and more influential financial markets, and on the financing of investment in the formerly centrally planned economies.

Financial Integration, Specialization and Systemic Risk

2008
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Release : 2008
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Book Rating : 663/5 ( reviews)

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Book Synopsis Financial Integration, Specialization and Systemic Risk by : Falko Fecht

Download or read book Financial Integration, Specialization and Systemic Risk written by Falko Fecht. This book was released on 2008. Available in PDF, EPUB and Kindle. Book excerpt:

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