Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/119496
Authors: 
Blank, Sven
Year of Publication: 
2009
Series/Report no.: 
FINESS Working Paper D.4.2
Abstract: 
Perfect consumption risk sharing requires both, frictionless goods as well as frictionless financial market integration. This project aims at analyzing the consequences of both type of frictions for the allocation of risk across countries in a unified framework. To this end, the theoretical model by Ghironi and Melitz (2005) is extended to allow for international trade in equities. This setup incorporates impediments to international trade in goods and assets. Impulse responses show that the degree of financial market integration and the time horizon considered, substantially alter the extent of consumption risk sharing depending on the nature of the underlying shock.
Subjects: 
International portfolio choice
consumption risk sharing
trade frictions
financial market frictions
JEL: 
F32
F42
Document Type: 
Working Paper

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