International Consumption Risk Sharing with Incomplete Goods and Asset Markets

Arbeitspapier

Perfect consumption risk sharing requires both, frictionless goods as well as frictionless financial market integration. This project aims at analyzing the consequences of both type of frictions for the allocation of risk across countries in a unified framework. To this end, the theoretical model by Ghironi and Melitz (2005) is extended to allow for international trade in equities. This setup incorporates impediments to international trade in goods and assets. Impulse responses show that the degree of financial market integration and the time horizon considered, substantially alter the extent of consumption risk sharing depending on the nature of the underlying shock.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: FINESS Working Paper ; No. D.4.2

Classification and Topics

• Classification: Wirtschaft ; Current Account Adjustment; Short-term Capital Movements ; International Policy Coordination and Transmission
• Subject: International portfolio choice ; consumption risk sharing ; trade frictions ; financial market frictions

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Blank, Sven
• Event: Veröffentlichung
• (who): Deutsches Institut für Wirtschaftsforschung (DIW)
• (where): Berlin
• (when): 2009

Further information

• Handle: http://hdl.handle.net/10419/119496
• Last update: 10.03.2025, 11:41 AM CET