Borrowing constraints and international risk sharing: evidence from asymmetric error-correction

Journal article | Zeitschriftenartikel

We analyze the adjustment process of consumption growth after disequilibrating output shocks in a sample of OECD countries. In particular, we test the hypothesis that consumption is smoothed to a lesser degree after negative shocks, whereas the impact of a positive shock is delayed for a longer period of time. Our analysis is based on an error correction framework that allows for asymmetric adjustment. We find that the mean adjustment lag after a negative shock is significantly shorter than after a positive shock, especially since the beginning of the 1980s. This result is consistent with the interpretation that borrowing constraints limit the degree to which the impact of negative shocks on consumption can be smoothed.

Object Details

• Language: Englisch
• Notes: Status: Postprint; begutachtet (peer reviewed)

References and Relationships

• Bibliographic citation: Applied Economics

Classification and Topics

• Subject: Wirtschaft ; Volkswirtschaftslehre

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Leibrecht, Markus ; Scharler, Johann
• Event: Veröffentlichung
• (where): Vereinigte Staaten von Amerika
• (when): 2010

Further information

• DOI: https://doi.org/10.1080/00036840903103692
• URN: urn:nbn:de:0168-ssoar-243079
• Rights: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
• Last update: 21.06.2024, 4:27 PM CEST