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.

Language: Englisch

Bibliographic citation: Series: ECB Working Paper ; No. 949

Classification: Wirtschaft
Monetary Policy
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Forecasting Models; Simulation Methods

Subject: consumption smoothing
Cross-Border Investment
International portfolio diversification
International risk sharing
Valuation effects
Wirtschaftsprognose
Prognoseverfahren
Geldpolitik
Wirtschaftswachstum
Eurozone
EU-Staaten

Event: Geistige Schöpfung

(who): Angelini, Elena
Camba-Méndez, Gonzalo
Giannone, Domenico
Rünstler, Gerhard
Reichlin, Lucrezia

Event: Veröffentlichung

(who): European Central Bank (ECB)

(where): Frankfurt a. M.

(when): 2008

Handle: http://hdl.handle.net/10419/153383

Last update: 10.03.2025, 11:42 AM CET

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Object type

Arbeitspapier

Associated

Angelini, Elena
Camba-Méndez, Gonzalo
Giannone, Domenico
Rünstler, Gerhard
Reichlin, Lucrezia
European Central Bank (ECB)

Time of origin

2008

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Short-term forecasts of euro area GDP growth

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Other Objects (12)

Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data

Short-term estimates of euro area real GDP by means of monthly data

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On the accuracy of short-term COVID-19 fatality forecasts

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