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How big are potential welfare gains from international risksharing?

Author: Eric Van Wincoop; Federal Reserve Bank of New York.
Publisher: [New York, N.Y.] : Federal Reserve Bank of New York, [1997]
Series: Staff reports (Federal Reserve Bank of New York), no. 37.
Edition/Format:   eBook : EnglishView all editions and formats
Summary:
"There is extensive evidence that the degree of risksharing accomplished by international financial markets is low. Some have argued that this is the result of small potential benefits from risksharing. The gains from riskpooling that have been reported in the literature range from negligible to enormous. This paper documents to what extent the results are sensitive to the parameterization of preferences, and  Read more...
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Details

Material Type: Internet resource
Document Type: Internet Resource
All Authors / Contributors: Eric Van Wincoop; Federal Reserve Bank of New York.
OCLC Number: 38597569
Notes: "February 1998"--Cover.
Description: 23 pages ; 22 cm.
Series Title: Staff reports (Federal Reserve Bank of New York), no. 37.
Responsibility: Eric van Wincoop.

Abstract:

"There is extensive evidence that the degree of risksharing accomplished by international financial markets is low. Some have argued that this is the result of small potential benefits from risksharing. The gains from riskpooling that have been reported in the literature range from negligible to enormous. This paper documents to what extent the results are sensitive to the parameterization of preferences, and assumptions about the stochastic process and measurement of the endowment. We find that for realistic assumptions about the underlying factors, the potential gains from risksharing are quite sizable. For OECD countries they are equivalent to increases in tradables consumption in the range of 1.1 to 3.5 percent for a 50 year horizon, and 2.5 to 7.4 percent for a 100 year horizon"--Abstract.

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