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Borrowing constraints and international risk sharing: evidence from asymmetric error-correction


Leibrecht, Markus; Scharler, Johann


Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-243079

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Abstract We analyze the adjustment process of consumption growth after disequilibrating output shocks in a sample of OECD countries. In particular, we test the hypothesis that consumption is smoothed to a lesser degree after negative shocks, whereas the impact of a positive shock is delayed for a longer period of time. Our analysis is based on an error correction framework that allows for asymmetric adjustment. We find that the mean adjustment lag after a negative shock is significantly shorter than after a positive shock, especially since the beginning of the 1980s. This result is consistent with the interpretation that borrowing constraints limit the degree to which the impact of negative shocks on consumption can be smoothed.
Klassifikation Volkswirtschaftslehre
Freie Schlagwörter International Risk Sharing; Error-Correction
Sprache Dokument Englisch
Publikationsjahr 2010
Zeitschriftentitel Applied Economics (2010)
DOI http://dx.doi.org/10.1080/00036840903103692
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)