Working Paper: CEPR ID: DP8643
Authors: Faruk Balli; Sebnem Kalemliozcan; Bent E. Sorensen
Abstract: We estimate channels of international risk sharing between European Monetary Union (EMU), European Union, and other OECD countries 1992-2007. We focus on risk sharing through savings, factor income flows, and capital gains. Risk sharing through factor income and capital gains was close to zero before 1999 but has increased since then. Risk sharing from capital gains, at about 6 percent, is higher than risk sharing from factor income flows for European Union countries and OECD countries. Risk sharing from factor income flows is higher for Euro zone countries, at 14 percent, reflecting increased international asset and liability holdings in the Euro area.
Keywords: capital markets; income insurance; international financial integration
JEL Codes: F21; F36
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| risk sharing through capital gains (D33) | risk sharing (D16) |
| risk sharing through factor income flows (E25) | risk sharing (D16) |
| capital gains contribution pre-1999 (H24) | risk sharing through capital gains (D33) |
| capital gains contribution post-1999 (H24) | risk sharing through capital gains (D33) |
| risk sharing through capital gains (D33) | stability of risk sharing (D81) |
| risk sharing through factor income flows (E25) | volatility of risk sharing (G17) |