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Athanasoulis, Stefano

Works: 3 works in 20 publications in 1 language and 143 library holdings
Roles: Author
Classifications: HB1, 336.3
Publication Timeline
Publications about Stefano Athanasoulis
Publications by Stefano Athanasoulis
Most widely held works by Stefano Athanasoulis
World income components : measuring and exploiting international risk sharing opportunities by Robert J Shiller( Book )
15 editions published between 1995 and 2001 in English and held by 65 libraries worldwide
Abstract: We provide methods of decomposing the variance of world national incomes into components in such a way as to indicate the most important risk-sharing opportunities, and, therefore, the most important missing international risk markets to establish. One method uses a total variance reduction criterion, and identifies risk-sharing opportunities in terms of eigenvectors of a variance matrix of residuals produced when country incomes are regressed on world income. Another method uses a mean-variance utility-maximizing criterion and identifies risk-sharing opportunities in terms of eigenvectors of a variance matrix of deviations of country incomes from their respective contract-year shares of world income. The two methods are applied using Summers-Heston (1991) data on national incomes for large countries 1950-1990, each using two different methods of estimating variances. While these data are not sufficient to provide accurate estimates of the requisite variance matrices of (transformed) national incomes, the results are suggestive of important new markets that could actually be created, and show that there may be large welfare gains to creating some of these markets
Growth uncertainty and risksharing by Stefano Athanasoulis( Book )
4 editions published in 1997 in English and held by 44 libraries worldwide
"We propose a new methodology to evaluate the gains from global risksharing that is closely connected to the empirical growth literature. We obtain estimates of residual risk (growth uncertainty) at various horizons from regressions of country-specific deviations from world growth on a wide set of variables in the information set. Since this residual risk can be entirely hedged, we use it to obtain a measure of welfare gain that can be achieved by a representative country. We find that nations can reap very large benefits from engaging in such risksharing arrangements. Using post-war data, the gain for a 35-year horizon, corresponding to an equivalent permanent increase in consumption, is 6.6% when based on a set of 49 countries, and 1.5% when based on 21 OECD countries. Using historical data from 1870 to 1990, we find that the potential gain for a 120-year horizon ranges from 4.9% for a small set of rich countries to 16.5% for a broad set of 24 countries"--Federal Reserve Bank of New York web site
Essays in the analysis of assets markets, derivatives design, international risk sharing and macroeconomic policy by Stefano Athanasoulis( Archival Material )
in English and held by 1 library worldwide
English (20)
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