05165oam 22010574 450 991081231480332120200520144314.01-4623-7190-61-282-84415-697866128441571-4527-7125-11-4518-7356-5(CKB)3170000000055353(SSID)ssj0000941833(PQKBManifestationID)11514420(PQKBTitleCode)TC0000941833(PQKBWorkID)10971666(PQKB)10106958(OCoLC)649706805(IMF)WPIEE2009209(MiAaPQ)EBC1608835(IMF)WPIEA2009209(EXLCZ)99317000000005535320020129d2009 uf 0engurcn|||||||||txtccrInternational Risk Sharing During the Globalization Era /Akito Matsumoto, Robert Flood, Nancy Marion1st ed.Washington, D.C. :International Monetary Fund,2009.38 p. illIMF Working PapersBibliographic Level Mode of Issuance: Monograph1-4519-1778-3 Includes bibliographical references.Intro -- Contents -- I. Introduction -- II. Theory -- III. Existing Measures of International Risk Sharing -- A. ρ Measures -- B. β Measures -- C. Growth Rate Volatility -- IV. A New Measure of Risk Sharing (σ) -- A. σ Measure -- B. Social Welfare and Ours σ2 Measure -- C. Frequency Decomposition -- V. Taking the New Measure to Data -- A. Results and Comparison with Existing Measures -- B. Results of High-Low Frequency Decomposition -- VI. Conclusion -- References -- Appendix -- Data Source and Definitions -- Figures -- 1. Lack of Perfect Risk Sharing Due to Difference in Trend Growth and Deviation from Trend -- 2. Rolling Volatility (mean) rw=15 -- 3. Rolling Volatility (mean) rw=20 -- 4. Rolling Volatility (mean) rw=15 -- 5. Rolling Volatility (mean) rw=15 -- 6. Rolling Volatility (mean) rw=15 -- 7. Relation Between the Degree of Risk Sharing and National Income in 2003 -- 8. Relation Between the Degree of Risk Sharing and National Income in 1964 -- 9. σ15 Measure Over Time -- 10. Correlation (mean) rw=15 -- 11. Correlation Measure Over Time 15-year rolling -- 12. Rolling β (median) rw=15 -- 13. β Measure Over Time 15-year Rolling -- 14. Rolling RVCh (mean) rw=15 -- 15. Rolling RVCG (mean) rw=15.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 ideal of perfect risk sharing. We then take it to data and find international risk sharing has, indeed, improved during globalization. Improved risk sharing comes mostly from the convergence in rates of consumption growth among countries rather than from synchronization of consumption at the business cycle frequency. Our finding explains why many existing measures fail to detect improved risk sharing-they focus only on risk sharing at the business cycle frequency.IMF Working Papers; Working Paper ;No. 2009/209GlobalizationFinancial riskAggregate Factor Income DistributionimfConsumptionimfEconomic theoryimfEconomicsimfEmerging and frontier financial marketsimfFinanceimfFinance: GeneralimfFinancial services industryimfGeneral Financial Markets: General (includes Measurement and Data)imfIncomeimfMacroeconomicsimfMacroeconomics: ConsumptionimfMacroeconomics: ProductionimfPrivate consumptionimfProduction growthimfProductionimfSavingimfWealthimfJapanimfGlobalization.Financial risk.Aggregate Factor Income DistributionConsumptionEconomic theoryEconomicsEmerging and frontier financial marketsFinanceFinance: GeneralFinancial services industryGeneral Financial Markets: General (includes Measurement and Data)IncomeMacroeconomicsMacroeconomics: ConsumptionMacroeconomics: ProductionPrivate consumptionProduction growthProductionSavingWealth174Matsumoto Akito1614873Flood Robert127224Marion Nancy617061International Monetary Fund.DcWaIMFBOOK9910812314803321International Risk Sharing During the Globalization Era4254002UNINA