Cross-country Consumption Risk Sharing, a Long-run Perspective
IMF Working Papers, March 1, 2010
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- Cross-country Consumption Risk Sharing, a Long-run Perspective
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Bibliographic details
- Authors: Zhaogang Qiao
- Published: March 1, 2010
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781451982084.001
Summary and research question
- Estimates an empirical nonstationary panel regression model that tests long-run consumption risk sharing across a sample of OECD and emerging market (EM) countries.
- Contrasts with existing literature, which is mainly about risks at business cycle frequency.
- Publication details:
- By Zhaogang Qiao
- March 1, 2010
- Pages: 46
- Volume: 2010
- Issue: 064
- Series: Working Paper No. 2010/064
- DOI: https://doi.org/10.5089/9781451982084.001
- Stock No: WPIEA2010064
- ISBN: 9781451982084
- ISSN: 1018-5941
Methodology
- Uses a nonstationary panel regression model focused on identifying cointegrating relationships.
- Allows for arbitrary short-run dynamics so that short-run nuisance factors do not bias long-run estimates.
- Emphasizes obtaining a consistent estimate of long-run risk sharing by targeting cointegration rather than business-cycle–frequency co-movements.
Key findings
- Long-run risk sharing in OECD countries increased more than that in EM countries during the past two decades.
- The methodology yields consistent estimates of long-run consumption risk sharing by disregarding short-run nuisance factors.
Subjects and keywords
- Subject: Business cycles, Consumption, Emerging and frontier financial markets, Financial integration, Insurance
- Keywords: math, time series, WP
This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy.
Content in this bundle
- Appendix III: Group-mean FMOLS Estimator