Financial-integration thresholds for consumption risk-sharing

Samreen Malik

    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

    Fingerprint

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