The Resource The international risk-sharing puzzle is at business cycle and lower frequency, Giancarlo Corsetti, Luca Dedola and Francesca Viani

The international risk-sharing puzzle is at business cycle and lower frequency, Giancarlo Corsetti, Luca Dedola and Francesca Viani

Label
The international risk-sharing puzzle is at business cycle and lower frequency
Title
The international risk-sharing puzzle is at business cycle and lower frequency
Statement of responsibility
Giancarlo Corsetti, Luca Dedola and Francesca Viani
Creator
Contributor
Author
Subject
Language
eng
Summary
We decompose the Backus-Smith [1993] statistic -- a low or negative correlation between relative consumption and the real exchange rate at odds with a high degree of international risk sharing -- in its dynamic components at different frequencies. Using multivariate spectral analysis techniques we show that, in most OECD countries, the dynamic correlation tends to be more negative, and significantly so, at business cycle or lower frequencies -- the appropriate frequencies for assessing the performance of international business cycle models. Theoretically, we show that the dynamic correlation predicted by standard open-economy models is the sum of two terms: a term constant across frequencies, which can be negative as a function of uninsurable risk; a term variable across frequencies, which in bond economies is necessarily positive, reflecting the insurance intertemporal trade provides against forecastable contingencies. We show that the main mechanisms proposed in the literature to account for the puzzle are consistent with the evidence
Member of
Cataloging source
IT-FiEUI
http://library.link/vocab/creatorName
Corsetti, Giancarlo
Index
no index present
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorDate
1967-
http://library.link/vocab/relatedWorkOrContributorName
  • Dedola, Luca
  • Viani, Francesca
  • European University Institute
Series statement
  • EUI working papers. ECO
  • EUI papers
Series volume
2011/16
http://library.link/vocab/subjectName
  • Risk management
  • International economic relations
Label
The international risk-sharing puzzle is at business cycle and lower frequency, Giancarlo Corsetti, Luca Dedola and Francesca Viani
Link
http://hdl.handle.net/1814/17216
Instantiates
Publication
Note
Keywords: International Risk-Sharing; Incomplete markets; Spectral Analysis; F41; F42
Bibliography note
Includes bibliographical references
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb1703761x
Dimensions
30 cm.
Extent
38 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)785634746
Label
The international risk-sharing puzzle is at business cycle and lower frequency, Giancarlo Corsetti, Luca Dedola and Francesca Viani
Link
http://hdl.handle.net/1814/17216
Publication
Note
Keywords: International Risk-Sharing; Incomplete markets; Spectral Analysis; F41; F42
Bibliography note
Includes bibliographical references
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb1703761x
Dimensions
30 cm.
Extent
38 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)785634746

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