International dynamic risk sharing

Cavaliere, Giuseppe; Fanelli, Luca; Gardini, Attilio

doi:10.1002/jae.968

Cited by 5 publications

(7 citation statements)

References 37 publications

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“…In Data S1 we also consider an application of the bootstrap techniques discussed in this paper to reassess the empirical evidence provided by Cavaliere, Fanelli and Gardini () on international dynamic consumption risk sharing within a set of European countries. We found considerably less evidence in favour of co‐integration than was found by Cavaliere et al .…”

Section: Numerical Resultsmentioning

confidence: 99%

“…We found considerably less evidence in favour of co‐integration than was found by Cavaliere et al . () on the basis of asymptotic co‐integration rank tests, casting doubt upon the existence of a risk‐sharing equilibrium serving as a long‐run anchor for consumption streams within the EU.…”

Section: Numerical Resultsmentioning

confidence: 99%

“…In Data S1 we also consider an application of the bootstrap techniques discussed in this paper to reassess the empirical evidence provided by Cavaliere, Fanelli and Gardini (2008) on international dynamic consumption risk sharing within a set of European countries. We found considerably less evidence in favour of co-integration than was found by Cavaliere et al (2008) on the basis of asymptotic co-integration rank tests, casting doubt upon the existence of a risk-sharing equilibrium serving as a long-run anchor for consumption streams within the EU.…”

Section: Further Results and Empirical Applicationmentioning

confidence: 99%

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Bootstrap Co‐integration Rank Testing: The Effect of Bias‐Correcting Parameter Estimates

2015

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In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we adapt the framework of Kilian (1998) which estimates the bias in the original parameter estimates using the average bias in the corresponding parameter estimates taken across a large number of auxiliary bootstrap replications. A number of possible implementations of this procedure are discussed and concrete recommendations made on the basis of finite sample performance evaluated by Monte Carlo simulation methods. Our results show that bootstrap-based bias-correction methods can significantly improve upon the small sample performance of the bootstrap co-integration rank tests. A brief application of the techniques developed in this paper to international dynamic consumption risk sharing within Europe is also considered.

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Section: Numerical Resultsmentioning

confidence: 99%

Section: Numerical Resultsmentioning

confidence: 99%

Section: Further Results and Empirical Applicationmentioning

confidence: 99%

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Bootstrap Co‐integration Rank Testing: The Effect of Bias‐Correcting Parameter Estimates

2015

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“…For example, the life-cycle hypothesis and permanent income hypothesis relate current consumption to (the present value of) life-income or real wealth, hence implying common trends and cycles between these variables, see Hall (1978) and Campbell and Mankiw (1990). Similarly co-movements among national consumption aggregates are predicted by international risk-sharing, see Cavaliere, Fanelli, and Gardini (2008) and reference therein. Other economic theories with similar implications include: international equalization of interest rates, see Kugler and Neusser (1993), present value models, see Campbell and Shiller (1987), and balanced growth models, see King, Plosser, Stock, and Watson (1991).…”

Section: Introductionmentioning

confidence: 83%

A characterization of vector autoregressive processes with common cyclical features

Franchi¹,

Paruolo²

2011

Journal of Econometrics

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Abstract. This paper presents necessary and sufficient conditions for the existence of common cyclical features in Vector Autoregressive (VAR) process integrated of order 0, 1, 2, where the common cyclical features correspond to codependence (CD), serial correlation common features (CS), or commonality in the final equations (CE). The results are based on polynomial rank factorizations of the reversed AR polynomial around the poles of its inverse. All processes with CS structures are found to present also CE structures and vice versa. The presence of CD structures, instead, implies the presence of both CS and CE structures, but not vice versa. Characterizations of the CS, CE, CD linear combinations are given in terms of linear subspaces defined in the polynomial rank factorizations.

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“…Moreover, an additional consideration using a three-dimensional VAR (2)-process model can make significant headway in the study (Anning, Tuama, and Darko, 2017). The model contains the logarithm values of yearly and seasonally adjusted variables for improved analytical method capabilities that may lead to additional findings (Cavaliere, Fanelli, and Gardini, 2008).…”

Section: Figure6 Distribution Of Difference Between Unemployment Andmentioning

confidence: 99%

Managing the Three Pillars of the Economy for Sustainable Growth

Espinoza¹,

Goonatilake²,

Herath³

2018

JEDS

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The highest unemployment rate in the United States (US), 24.9%, was reported during the great depression from August 1929 to June 1938, and it remained above 10% until 1941. The US unemployment rate reached another high of 9.8% in 2009. Some market watchers predict it will occur again in the next two years. The economy's slow growth causes higher rates of unemployment with declining gross domestic product (GDP). Fewer jobs mean less income for US citizens, and less money available to spend leads to less consumption. As a result, GDP begins to decline. As GDP declines, businesses have fewer funds leading to a reduction of payroll and reducing personnel to reduce cost generated by salaries and wages. This leads to the belief that any of these two items are correlated. That is to say, that they vary together as the economy grows, providing a linear model for the quantities. The distribution of the differences between unemployment (UNMP), inflation (INF), and GDP, considering the quantities, UNMP-INF is right skewed and that of INF-GDP exhibits symmetry, while they both are unimodal. Using the ARIMA (2, 1, 0) Model we forecast GDP growth for the year 2018 and a few more years after that. As of now, it appears that the GDP estimate obtained for the year 2018 fits just about right.Businesses find themselves in the apathy of hiring personnel or waiting until the company is on a stable footing concerning the economic situation. The government has observed the unemployment rates in the US since the stock market crash in 1929 as a way to prevent further damage to the US economy. It is often said, "When the unemployment rate reaches 6.0%, the government steps in" (Amadeo, 2018). If the unemployment rate is too high, the government opts to use a monetary fund to counteract the possible damages to the economy. If unemployment persists, the US Congress also uses fiscal policy, and it can even create employments and give out benefits to those in need. Thus, it is important to have a detailed understanding of these quantities.

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International dynamic risk sharing

Cited by 5 publications

References 37 publications

Bootstrap Co‐integration Rank Testing: The Effect of Bias‐Correcting Parameter Estimates

Bootstrap Co‐integration Rank Testing: The Effect of Bias‐Correcting Parameter Estimates

A characterization of vector autoregressive processes with common cyclical features

Managing the Three Pillars of the Economy for Sustainable Growth

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