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International Risk Sharing

International Risk Sharing »

Source: International Risk Sharing : Through Equity Diversification or Exchange Rate Hedging?

Volume/Issue: 2009/138

Series: IMF Working Papers

Author(s): Akito Matsumoto , and Charles Engel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2009

ISBN: 9781451872859

Keywords: International portfolio choice, international risk sharing, international diversification, exchange rate, hedge, home currency,

Well-known empirical puzzles in international macroeconomics concern the large divergence of equilibrium outcomes for consumption across countries from the predictions of models with full risk sharing. It is common...

The International Diversification Puzzle when Goods Prices Are Sticky

The International Diversification Puzzle when Goods Prices Are Sticky »

Source: The International Diversification Puzzle when Goods Prices Are Sticky : It's Really About Exchange-Rate Hedging, not Equity Portfolios

Volume/Issue: 2009/12

Series: IMF Working Papers

Author(s): Akito Matsumoto , and Charles Engel

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2009

ISBN: 9781451871593

Keywords: international risk sharing, international portfolio allocation, exchange rate hedging, equity home bias, exchange rate, hedge, home currency, nominal exchange rate, Equity Home Bias International Risk Sharing,

This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some nominal goods prices are sticky. Trade in...

U.S. Investors' Emerging Market Equity Portfolios

U.S. Investors' Emerging Market Equity Portfolios »

Source: U.S. Investors' Emerging Market Equity Portfolios : A Security-Level Analysis

Volume/Issue: 2003/238

Series: IMF Working Papers

Author(s): Francis Warnock , and Hali Edison

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

ISBN: 9781451875768

Keywords: portfolio choice, home bias, international risk sharing, investors, cost of capital, foreign ownership, foreign securities, institutional investors, and international risk sharing,

We analyze a unique data set and uncover a remarkable result that casts a new light on the home bias phenomenon. The data are comprehensive, security-level holdings of emerging market equities by U.S. investors. We...

International Risk Sharing During the Globalization Era

International Risk Sharing During the Globalization Era »

Source: International Risk Sharing During the Globalization Era

Volume/Issue: 2009/209

Series: IMF Working Papers

Author(s): Akito Matsumoto , Robert Flood , and Nancy Marion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2009

ISBN: 9781451873566

Keywords: International risk sharing, incomplete market, risk sharing, emerging markets, private consumption, income growth, Macroeconomic Aspects Of International Trade And Finance, Saving, Production, Employment

Though theory suggests financial globalization should improve international risk sharing, empirical support has been limited. We develop a simple welfare-based measure that captures how far countries are from the i...

Financial Globalization and Monetary Policy

Financial Globalization and Monetary Policy »

Source: Financial Globalization and Monetary Policy

Volume/Issue: 2007/279

Series: IMF Working Papers

Author(s): Michael Devereux , and Alan Sutherland

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 19 December 2007

ISBN: 9781451868425

Keywords: Portfolio Choice, International Risk Sharing, exchange rate, price stability, interest rate, current account,

What does financial globalization imply for the design of monetary policy? Does the case for price stability change in an environment of large cross country gross asset holdings?. This paper is concerned with the e...

Cross-country Consumption Risk Sharing, a Long-run Perspective

Cross-country Consumption Risk Sharing, a Long-run Perspective »

Source: Cross-country Consumption Risk Sharing, a Long-run Perspective

Volume/Issue: 2010/64

Series: IMF Working Papers

Author(s): Zhaogang Qiao

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2010

ISBN: 9781451982084

Keywords: Consumption risk sharing, Intertemporal smoothing, Nonstationary panel analysis, Cointegration, risk sharing, equation, time series, statistic, Macroeconomics and Monetary Economics: General, International Economics: General,

This paper estimates an empirical nonstationary panel regression model that tests long-run consumption risk sharing across a sample of OECD and emerging market (EM) countries. This is in contrast to the existing li...

The CFA Arrangements

The CFA Arrangements »

Source: The CFA Arrangements : More than Just An Aid Substitute?

Volume/Issue: 2007/19

Series: IMF Working Papers

Author(s): Etienne Yehoue

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2007

ISBN: 9781451865837

Keywords: International Risk Sharing, inflation, terms of trade, price stability, terms of trade shocks, average inflation, International Monetary Arrangements and Institutions,

The CFA franc zone has had one of the longest experiences with a fixed exchange rate for a convertible currency and regional integration of any group of developing countries. France, the anchor country, provides ai...

Financial Integration in Asia

Financial Integration in Asia »

Source: Financial Integration in Asia : Estimating the Risk-Sharing Gains for Australia and Other Nations

Volume/Issue: 2006/267

Series: IMF Working Papers

Author(s): Benoît Mercereau

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2006

ISBN: 9781451865271

Keywords: Risk-sharing, international diversification, financial integration, foreign assets, recession, international economic order, Financial Aspects of Economic Integration,

Holding foreign assets reduces the volatility of a country's income by allowing countries to share risk. Yet, financial integration is limited in Asia. This paper estimates how much Australia and other countries in...

International Risk Sharing and Currency Unions

International Risk Sharing and Currency Unions »

Source: International Risk Sharing and Currency Unions : The CFA Zones

Volume/Issue: 2005/95

Series: IMF Working Papers

Author(s): Etienne Yehoue

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2005

ISBN: 9781451861143

Keywords: Capital Market, Consumption Smoothing, International Risk Sharing, free capital flows, stock exchange, International Monetary Arrangements and Institutions, International Factor Movements and International Business,

This paper explores income and consumption smoothing patterns among the member countries of each of the CFA zones-the CEMAC2 and the WAEMU3-during the period 1980-2000. I find that for the CEMAC, only about 15 perc...

Trade Liberalization Strategies

Trade Liberalization Strategies »

Source: Trade Liberalization Strategies : What Could South Eastern Europe Learn From Cefta and Bfta?

Volume/Issue: 2003/239

Series: IMF Working Papers

Author(s): Antonis Adam , James McHugh , and Theodora Kosma

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

ISBN: 9781451875799

Keywords: Trade liberalization, gravity models, stability pact, CEFTA, BFTA, trade area, free trade, free trade area, regional trade, portfolio choice

This paper explores the effectiveness of the Central European Free Trade Area (CEFTA) and the Baltic Free Trade Area (BFTA). Estimates from a gravity model and bilateral trade data support the view that both CEFTA...