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Risk sharing through capital gains

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Abstract:

Abstract We estimate channels of international risk sharing between European Monetary Union (EMU), European Union, and other OECD countries, 1992–2007. We focus on risk sharing through savings, factor income flows, and capital gains. Risk sharing through factor income and capital gains was close to zero before 1999 but has increased since then. Risk sharing from capital gains, at about 6%, is higher than risk sharing from factor income flows for European Union countries and OECD countries. Risk sharing from factor income flows is higher for euro zone countries, at 14%, reflecting increased international asset and liability holdings in the euro area.

Language: English

Document Type: Research Article

DOI: https://doi.org/10.1111/j.1540-5982.2012.01702.x

Affiliations: 1: School of Economics and Finance, Massey University 2: Department of Economics, University of Houston

Publication date: 2012-05-01

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