International diversification, growth, and welfare with non-traded income risk and incomplete markets
نویسندگان
چکیده
منابع مشابه
WORKING PAPER SERIES No. 17/2002 INTERNATIONAL DIVERSIFICATION, GROWTH, AND WELFARE WITH NON-TRADED INCOME RISK AND INCOMPLETE MARKETS
We ask how the potential benefits from cross-border asset trade are affected by the presence of non-traded income risk in incomplete markets. We show that the mean consumption growth may be lower with full integration than in financial autarky. This can occur because: the hedging demand for risky high-return projects may fall as the investment opportunity set increases, and precautionary saving...
متن کاملTariff Risk and International Borrowing with Incomplete Asset Markets
When residents oftwo countries have access to complete contingent claims markets, the welfare effects ofchanges in tariffs are opposite to those found in static trade theory. This paper demonstrates that a much simpler asset market structure can be sufficient to generate such a result. In the context of a two period model with asset trade restricted to simple bonds, I decompose wealth and subst...
متن کاملInternational diversification with frontier markets
We provide an analysis of frontier market equities with respect to world market integration and diversification. Principal component results reveal that frontier markets exhibit low levels of integration. In contrast with developed and emerging markets, frontier markets offer no indication of increasing integration through time. Furthermore, individual frontier market countries do not exhibit c...
متن کاملPrice-level volatility and welfare in incomplete markets with sunspots
In an economy with incomplete financial markets as described by Cass (1989), there is typically a continuum of equilibria driven by sunspots. In some cases, there is no Pareto ranking among the different sunspot equilibria. However, this paper shows that a sunspot equilibrium with lower price-volatility is superior in economic welfare to one with higher price-volatility based on a compensation ...
متن کاملStock Markets Volatility and International Diversification
During the last decades, the financial markets volatility concept attracted the attention of the theorists and the experts in the field of finance, especially for the internationally diversified wallets. In this article, we used an asymmetric dynamic conditional correlation (DCC-GARCH (1.1)) model following the approach of Engle (2002), to test if the volatility of individual market or their re...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Financial Economics
سال: 2005
ISSN: 0960-3107,1466-4305
DOI: 10.1080/09603100500120670