Financial Markets and International Risk Sharing

被引：6
|
作者：
Schmitz, Martin [1 ,2 ]
机构：
[1] Trinity Coll Dublin, Dept Econ, Coll Green, Dublin 2, Ireland
[2] Trinity Coll Dublin, Inst Int Integrat Studies, Coll Green, Dublin 2, Ireland
来源：
OPEN ECONOMIES REVIEW | 2010年 / 21卷 / 03期
关键词：
International risk sharing; Capital gains; Cross-border investment; Financial globalisation; Business cycle; FISCAL-POLICY;
D O I：
10.1007/s11079-008-9100-x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Panel analysis of 21 industrial countries shows evidence for pro-cyclicality of capital gains on domestic stock markets over a medium term horizon. Thus, with cross-border ownership of portfolio equity investments, potential for hedging against domestic output fluctuations by means of the capital gains channel of foreign liabilities is found. Individual country analysis reveals substantial heterogeneity of cyclicality patterns. Evidence suggests that this cross-country variation can be explained by the level of economic development and the size of financial markets.
引用
收藏
页码：413 / 431
页数：19
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