International risk sharing with heterogeneous firms

研究成果査読

抄録

This paper explores international consumption risk sharing in an open economy macro model with firm heterogeneity and shows that firm entry and the self-selection of more efficient firms into exporting account for better international risk sharing. I show analytically that the conventional unconditional correlation between relative consumption and the real exchange rate is not a good metric for measuring international consumption risk sharing. World trade data covering more than two decades indicate that the extent of international risk sharing is underestimated.

本文言語English
論文番号102503
ジャーナルJournal of International Money and Finance
120
DOI
出版ステータスPublished - 2022 2

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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