Asymmetric volatility spillovers and consumption risk-sharing
Recent studies show that international financial integration facilitates cross-country consumption risk-sharing. We extend this line of research and demonstrate that breaking financial integration down into good and bad integration is important. We also propose new measures of capital market integra...
| Authors: | , |
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| Format: | article |
| Status: | Versión aceptada para publicación |
| Publication Date: | 2021 |
| Country: | España |
| Institution: | Varias* (Consorci de Biblioteques Universitáries de Catalunya, Centre de Serveis Científics i Acadèmics de Catalunya) |
| Repository: | Recercat. Dipósit de la Recerca de Catalunya |
| OAI Identifier: | oai:recercat.cat:2445/182157 |
| Online Access: | https://hdl.handle.net/2445/182157 |
| Access Level: | Open access |
| Keyword: | Risc (Economia) Consum (Economia) Mercat financer Risk Consumption (Economics) Financial market |
| Summary: | Recent studies show that international financial integration facilitates cross-country consumption risk-sharing. We extend this line of research and demonstrate that breaking financial integration down into good and bad integration is important. We also propose new measures of capital market integration, based on good and bad volatility shocks, as well as country-specific indices of consumption risk-sharing. We document a decoupling of individual consumption growth from global risk-sharing after episodes of bad volatility cross-spillovers, and a recoupling after good spillovers. Our results support current views in the literature that advocate an asymmetric treatment of good and bad volatility shocks, in order to assess the macroeconomic dynamics that follow risk episodes. They also challenge previous views that present capital market integration (without differentiating between good and bad shocks) as a prerequisite for higher international consumption risk-sharing. Overall, our outcomes cast some doubt on the actual scope for consumption risk-sharing across global financial markets. |
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