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Risky habits : on risk sharing, habit formation, and the interpretation of international consumption correlations

Author: Jeffrey C Fuhrer; Michael W Klein; National Bureau of Economic Research.
Publisher: Cambridge, MA : National Bureau of Economic Research, ©1998.
Series: Working paper series (National Bureau of Economic Research), working paper no. 6735.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Abstract: Standard international economic models with life cycle/permanent income consumption behavior predict that international portfolio diversification leads to high bilateral consumption correlations. Thus international consumption correlations have been empirically estimated as a test of international portfolio diversification and risk sharing. In this paper we investigate the international consumption  Read more...
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Additional Physical Format: Print version:
Fuhrer, Jeffrey C.
Risky habits.
Cambridge, MA : National Bureau of Economic Research, ©1998
(OCoLC)40427498
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jeffrey C Fuhrer; Michael W Klein; National Bureau of Economic Research.
OCLC Number: 647175860
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (39, [7] pages of plates) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: Working paper series (National Bureau of Economic Research), working paper no. 6735.
Other Titles: On risk sharing, habit formation, and the interpretation of international consumption correlations
Risk sharing, habit formation, and the interpretation of international consumption correlations
Responsibility: Jeffrey C. Fuhrer, Michael W. Klein.

Abstract:

Abstract: Standard international economic models with life cycle/permanent income consumption behavior predict that international portfolio diversification leads to high bilateral consumption correlations. Thus international consumption correlations have been empirically estimated as a test of international portfolio diversification and risk sharing. In this paper we investigate the international consumption correlations generated by a more general model which incorporates habit formation in consumption. We show that, in the presence of common interest rate movements, habit formation itself can generate positive international consumption correlations even in the absence of any international risk sharing. Empirical evidence presented in this paper suggests habit formation characterizes consumption behavior among most of the G-7 countries. Thus, the extent of international portfolio diversification may be even lower than that suggested by previous research which studied international consumption correlations.

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