Sharing Asymmetric Tail Risk: Smoothing, Asset Prices and Terms of Trade

Autor:	Anna Lipinska, Giovanni Lombardo, Giancarlo Corsetti
Rok vydání:	2021
Předmět:	Consumption (economics) Complete market Order (exchange) Econometrics Economics Dynamic stochastic general equilibrium Capital asset pricing model Tail risk Terms of trade Transfer problem
Zdroj:	International Finance Discussion Paper. 2021:1-57
ISSN:	2767-4509 1073-2500
DOI:	10.17016/ifdp.2021.1324
Popis:	Crises and tail events have asymmetric effects across borders, raising the value of arrangements improving insurance of macroeconomic risk. Using a two-country DSGE model, we provide an analytical and quantitative analysis of the channels through which countries gain from sharing (tail) risk. Riskier countries gain in smoother consumption but lose in relative wealth and average consumption. Safer countries benefit from higher wealth and better average terms of trade. Calibrated using the empirical distribution of moments of GDP-growth across countries, the model suggests non-negligible quantitative effects. We offer an algorithm for the correct solution of the equilibrium using DSGE models under complete markets, at higher order of approximation.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::4ded54860f3bbdcc080852012666a2dc https://doi.org/10.17016/ifdp.2021.1324 Zobrazit plný text záznamu