Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/77453
Authors: 
McLoughlin, Cameron
Year of Publication: 
2010
Series/Report no.: 
Graduate Institute of International and Development Studies Working Paper 21/2010
Abstract: 
Improved consumption risk sharing is one of the fundamental predicted benefits of increased financial integration, yet the empirical evidence concerning this proposition is mixed. Using the novel empirical technique of wavelet analysis, this paper for the first time in the literature uncovers the heterogeneous evolution of consumption and output correlations over the time and frequency dimensions simultaneously. Periods of strong comovement in consumption growth rates not only occur during times of common (uninsurable) shocks to output, but also to some extent during times of increased financial integration. This evidence adds a new dimension to the consumption output correlation puzzle, which appears to only hold at certain time periods and frequencies.
Subjects: 
Consumption Output Correlation Puzzle
International Consumption Risk Sharing
Wavelet Analysis
JEL: 
F36
F41
Document Type: 
Working Paper

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