Autori
Becker, Sascha O.
Hoffmann, Mathias

Titolo
International risk-sharing in the short run and the long run
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2001 - Fascicolo: 3 - Pagina iniziale: 1 - Pagina finale: 25

Using a panel of 23 industrialised countries, the paper investigates how short-run and long-run income risks are shared and how the source of uncertainty matters for the way this risk gets insured. Surprisingly, short-term and long-term output risks are found to be equally well insured. Transitory shocks get smoothed almost completely whereas permanent shocks remain 80 percent uninsured. We find a somewhat more important role for international capital markets than earlier studies. Whereas our results tie in with some recent theoretical insights and are consistent with empirical findings on home bias in international portfolios, they raise the question why permanent shocks are so hard to insure internationally.




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