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Displaying results 1 to 3 of 3.

  1. Is there consumer risk-pooling in the open economy?
    the evidence reconsidered
    Author: Minford, Patrick; Ou, Zhirong; Zhu, Zheyi
    Published: October 2020
    Publisher:  Cardiff Business School, Cardiff University, Cardiff, United Kingdom

    We revisit the evidence on consumer risk-pooling and uncovered interest parity. Widely used singleequation tests are strongly biased against both. Using the full-model, Indirect Inference test, which is unbiased and has Goldilocks power by Monte... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 159
    Inter-library loan:
    No inter-library loan

     

    We revisit the evidence on consumer risk-pooling and uncovered interest parity. Widely used singleequation tests are strongly biased against both. Using the full-model, Indirect Inference test, which is unbiased and has Goldilocks power by Monte Carlo experiments, we …nd that both the risk-pooling hypothesis and its weaker UIP version are generally accepted as part of a full world DSGE model.The fact that the risk-pooling hypothesis, with its implication of strong cross-border consumer linkage,has passed this test with generally the highest p-value, suggests that it deserves serious attention from policy-makers looking for a relevant model to discuss international monetary and other business cycle issues.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/250322
    Series: Cardiff economics working papers ; no. E2020, 12
    Subjects: Open economy; consumer risk-pooling; UIP; full-model test; IndirectInference
    Scope: 1 Online-Ressource (circa 13 Seiten), Illustrationen
  2. On the determination of the real exchange rate in free markets
    do consumer risk-pooling and uncovered interest parity differ and fit?
    Author: Minford, Patrick; Ou, Zhirong; Zhu, Zheyi
    Published: February 2023
    Publisher:  Cardiff Business School, Cardiff University, Cardiff, United Kingdom

    We revisit the "puzzle" in open economy studies that evidence of international risk-sharing is hardly seen despite the completeness of the financial market. We reassess both risk-pooling via state-contingent bonds, and uncovered interest parity -... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 159
    Inter-library loan:
    No inter-library loan

     

    We revisit the "puzzle" in open economy studies that evidence of international risk-sharing is hardly seen despite the completeness of the financial market. We reassess both risk-pooling via state-contingent bonds, and uncovered interest parity - both were believed to be different, and spuriously rejected, in previous work - in the context of a full DSGE model. We prove that the two models are identical, both analytically and numerically. When tested as part of the full DSGE model by indirect inference which circumvents the bias of single-equation tests, we find strong and wide evidence of international risk-sharing.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284164
    Series: Cardiff economics working papers ; no. E2023, 02
    Subjects: consumer risk-pooling; UIP; two-country DSGE model; indirect inference test
    Scope: 1 Online-Ressource (circa 14 Seiten)
  3. Is there international risk-sharing between developed economies?
    new evidence from indirect inference
    Author: Minford, Patrick; Ou, Zhirong; Zhu, Zheyi
    Published: February 2023
    Publisher:  Cardiff Business School, Cardiff University, Cardiff, United Kingdom

    It has been an "empirical consensus" that data from developed economies generally do not support the hypothesis of international risk-sharing, either in the form of full risk-pooling via state-contingent assets or in the form of uncovered interest... more

    Access:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 159
    Inter-library loan:
    No inter-library loan

     

    It has been an "empirical consensus" that data from developed economies generally do not support the hypothesis of international risk-sharing, either in the form of full risk-pooling via state-contingent assets or in the form of uncovered interest parity enforced by trading non-contingent assets. We reassess these hypotheses in the context of a full DSGE model, as opposed to testing them as single regressions in previous work. We prove that the two model versions behave identically, suggesting that consumers would receive the same scope of protection against risks whether bonds are state-contingent. We further find that the model, when tested appropriately as a whole embracing risk-pooling/UIP, fits the data well and universally through the lens of indirect inference; hence, we provide new evidence of the hypotheses' empirical validity spuriously rejected by single regressions.

     
    Export to reference management software   RIS file
      BibTeX file
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/284165
    Series: Cardiff economics working papers ; no. E2023, 03
    Subjects: consumer risk-pooling; UIP; two-country DSGE model; indirect inference test
    Scope: 1 Online-Ressource (circa 11 Seiten)