Template-type: ReDif-Paper 1.0
Author-Name: Holinski Nils 
Author-Name: Kool Clemens 
Author-Name: Muysken Joan 
Author-workplace-name: METEOR
Title: Taking Home Bias Seriously: Absolute and Relative Measures Explaining Consumption Risk-Sharing
Abstract: Recent empirical work has shown that ongoing international  financial integration facilitates cross-country consumption risk-sharing. While these studies typically employ absolutemeasures to account for a country''s integration in international capital markets, we devise a relative measure that is motivated by the International Capital Asset Pricing Model (I-CAPM) literature. Our measure captures the composition of a country''s international portfolio relative to the world portfolio, which all countries should optimally hold according to the I-CAPM. Using panel-data regression for a group of OECD countries during the financial globalization period 1980-2007, we show that the geography of international portfolioshelps to explain the degree of consumption risk-sharing obtained.
Keywords: macroeconomics ; 
Series: Research Memoranda
Creation-Date: 2009
Number: 035
File-URL: http://digitalarchive.maastrichtuniversity.nl/fedora/objects/guid:b3c5dc30-06d4-4452-a1b6-064b9e245353/datastreams/ASSET1/content
File-Format: application/pdf
File-Size: 395775
Handle: RePEc:unm:umamet:2009035