Common correlated effects and international risk sharing
| Autor: | Peter Fuleky, Luigi Ventura, Qianxue Zhao |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Consumption (economics)
Panel data Cross-sectional dependence International risk sharing Consumption insurance consumption risk education 05 social sciences Geography Planning and Development jel:C51 Diversification (finance) jel:C23 jel:E21 Development jel:F36 common correlated effect 0502 economics and business Economics Econometrics Risk sharing Rrisk sharing 050207 economics Finance 050205 econometrics Financial globalization |
| Zdroj: | International Finance. 21:55-70 |
| ISSN: | 1367-0271 |
| Popis: | International risk sharing has been among the most actively researched areas of macroeconomics for the last two decades. Empirical contributions in this field make extensive use of so called "consumption insurance" tests evaluating the extent to which idiosyncratic shocks in income get transferred to consumption. A prerequisite of such a test is the isolation of country specific variation in the data. We show that the cross-sectional demeaning technique frequently used in the literature is in general inadequate to eliminate global factors from a panel data set, and can lead to misleading inference. We argue that international risk sharing tests should instead be based on a method that more reliably deals with global factors. We claim and illustrate in our empirical application that the fairly simple common correlated e ects estimator for cross-sectionally dependent panels introduced by Pesaran (2006), and Kapetanios et al. (2010) is a tool that satisfies this requirement. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Plný text