ABSTRACT

Recent studies show that international financial integration facilitates cross-country consumption risk-sharing. We extend this line of research and demonstrate that breaking financial integration down into good and bad integration is important. We also propose new measures of capital market integration, based on good and bad volatility shocks, as well as country-specific indices of consumption risk-sharing. We document a decoupling of individual consumption growth from global risk-sharing after episodes of bad volatility cross-spillovers, and a recoupling after good spillovers. Our results support current views in the literature that advocate an asymmetric treatment of good and bad volatility shocks, in order to assess the macroeconomic dynamics that follow risk episodes. They also challenge previous views that present capital market integration (without differentiating between good and bad shocks) as a prerequisite for higher international consumption risk-sharing. Overall, our outcomes cast some doubt on the actual scope for consumption risk-sharing across global financial markets.

摘要

最近的研究表明，国际金融一体化有利于跨国消费风险分担。我们扩展了这一研究范围，并证明将金融整合分为好的和坏的整合很重要。我们还建议资本市场一体化的新措施的基础上，好和坏波动性冲击，以及特定国家的消费风险分担指数。我们记录了个人消费增长与全球风险分担在剧烈波动性交叉溢出事件发生后脱钩，以及在良好溢出后重新耦合。我们的结果支持文献中的当前观点，即主张对好的和坏的波动性冲击进行不对称处理，以评估风险事件后的宏观经济动态。它们还挑战了之前将资本市场一体化（不区分好坏冲击）作为更高国际消费风险分担的先决条件的观点。总体而言，我们的结果对全球金融市场消费风险分担的实际范围产生了一些怀疑。