Arbeitspapier
Short-term forecasts of euro area GDP growth
Global financial integration unlocks a huge potential for international risk sharing. We examine the degree to which international equity holdings act as a risk sharing device in industrial and emerging economies. We split equity returns into investment income (dividend distribution) and capital gains to investigate which of the two channels delivers the largest potential for risk sharing. Our evidence suggests that net capital gains are a more potent channel of risk sharing. They behave in a countercyclical way, that is they tend to be positive (negative) when the domestic economy is growing more slowly (rapidly) than the rest of the world. Countries with more countercyclical net capital gains experience improved consumption risk sharing. The empirical analysis furthermore suggests that these risk sharing properties of net capital gains have increased through time, in particular in the 1990s and early-2000s, on the back of a declining equity home bias and financial market deepening.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 949
- Klassifikation
-
Wirtschaft
Monetary Policy
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Forecasting Models; Simulation Methods
- Thema
-
consumption smoothing
Cross-Border Investment
International portfolio diversification
International risk sharing
Valuation effects
Wirtschaftsprognose
Prognoseverfahren
Geldpolitik
Wirtschaftswachstum
Eurozone
EU-Staaten
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Angelini, Elena
Camba-Méndez, Gonzalo
Giannone, Domenico
Rünstler, Gerhard
Reichlin, Lucrezia
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Angelini, Elena
- Camba-Méndez, Gonzalo
- Giannone, Domenico
- Rünstler, Gerhard
- Reichlin, Lucrezia
- European Central Bank (ECB)
Entstanden
- 2008
Ähnliche Objekte (12)
Remote sensing for short-term economic forecasts
Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting
Performance evaluation of neural network-based short-term solar irradiation forecasts
Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data
On the international consistency of short-term, medium-term, and long-term oil price forecasts
Short-term forecasting GDP with a DSGE model augmented by monthly indicators
Short-term estimates of euro area real GDP by means of monthly data
Short-term estimates of Euro area real GDP by means of monthly data
Nowcasting and short-term forecasting of Russian GDP with a dynamic factor model
Decomposing short-term return reversal
Determinants of Short-Term Debt
Handbook of short-term psychotherapy
Remote sensing for short-term economic forecasts
Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting
Performance evaluation of neural network-based short-term solar irradiation forecasts
Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data
On the international consistency of short-term, medium-term, and long-term oil price forecasts
Short-term forecasting GDP with a DSGE model augmented by monthly indicators
Short-term estimates of euro area real GDP by means of monthly data
Short-term estimates of Euro area real GDP by means of monthly data
Nowcasting and short-term forecasting of Russian GDP with a dynamic factor model
Decomposing short-term return reversal
Determinants of Short-Term Debt
Handbook of short-term psychotherapy
Remote sensing for short-term economic forecasts
Forecasting Macedonian GDP: Evaluation of different models for short-term forecasting
Performance evaluation of neural network-based short-term solar irradiation forecasts
Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data
On the international consistency of short-term, medium-term, and long-term oil price forecasts
Short-term forecasting GDP with a DSGE model augmented by monthly indicators
Short-term estimates of euro area real GDP by means of monthly data
Short-term estimates of Euro area real GDP by means of monthly data
Nowcasting and short-term forecasting of Russian GDP with a dynamic factor model
Decomposing short-term return reversal
Determinants of Short-Term Debt