03747nam 2200625Ia 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(EXLCZ)99317000000005535320100902d2009 uf 0engurcn|||||||||txtccrInternational risk sharing during the globalization era /Robert P. Flood, Nancy P. Marion and Akito Matsumoto1st ed.[Washington, D.C.] International Monetary Fund200938 p. illIMF working paper ;WP/09/209Bibliographic 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 paper ;WP/09/209.GlobalizationFinancial riskGlobalization.Financial risk.174Flood Robert P127224Marion Nancy Peregrim1753400Matsumoto Akito1614873International Monetary Fund.MiAaPQMiAaPQMiAaPQBOOK9910812314803321International risk sharing during the globalization era4189249UNINA