Financial-integration thresholds for consumption risk-sharing

Research output: Contribution to journalArticle

Abstract

I present empirical evidence of how international consumption risk sharing varies by levels of financial integration. In a panel data set of 64 countries from 1985-2009, I show a significant presence of threshold effects of financial integration on international consumption risk sharing. The results indicate the presence of two significant thresholds and three corresponding regimes. Below the lower threshold is limited but statistically significant consumption risk-sharing. Above the higher threshold is significant risk-sharing. However, intermediate to the two thresholds is a regime with excess volatility. These findings are therefore suggestive of a U-shaped relationship between financial integration and consumption risk-sharing, with a potentially destabilizing intermediate regime.

Original languageEnglish (US)
Pages (from-to)73-93
Number of pages21
JournalInternational Review of Economics and Finance
Volume38
DOIs
StatePublished - Jul 1 2015

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Financial integration
Consumption risk sharing
Risk sharing
Threshold effects
Excess volatility
Empirical evidence
Panel data

Keywords

  • Consumption risk-sharing
  • Financial integration
  • Threshold effects

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Cite this

Financial-integration thresholds for consumption risk-sharing. / Malik, Samreen.

In: International Review of Economics and Finance, Vol. 38, 01.07.2015, p. 73-93.

Research output: Contribution to journalArticle

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