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Risk Sharing through Capital Gains

Author

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  • Sørensen, Bent E
  • Kalemli-Özcan, Sebnem
  • Balli, Faruk

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 percent, 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 percent, reflecting increased international asset and liability holdings in the Euro area.

Suggested Citation

  • Sørensen, Bent E & Kalemli-Özcan, Sebnem & Balli, Faruk, 2011. "Risk Sharing through Capital Gains," CEPR Discussion Papers 8643, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:8643
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    More about this item

    Keywords

    Capital markets; International financial integration; Income insurance;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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