International risk sharing in the European Monetary Union
Ferrari, Alessandro
Rogantini Picco, Anna

Data: 2017
Resum: This paper aims at empirically assessing the effect of the adoption of the euro on the ability of euro area member states to smooth consumption and share risk. With the objective of evaluating the economic performance of euro area countries in the scenario where the euro had not been adopted, we construct a counterfactual dataset of macroeconomic variables via the Synthetic Control Method. In order to get some preliminary measures of risk sharing, we compute correlations between consumption and GDP within a country, bilateral consumption correlations, and Brandt-Cochrane-Santa Clara indices across euro area member states. We then decompose risk sharing in different channels by means of the Asdrubali, Sorensen and Yosha (1996) output variance decomposition. Our difference in difference estimates show that the euro has not affected the level of international risk sharing across euro area countries, but has partially reduced the ability of member states to smooth consumption. We attribute this change to the higher GDP growth generated by the adoption of the euro, which has been accompanied by a greater output volatility. We also report differential effects for euro area core and periphery countries, showing that the former have not suffered any negative effect from the adoption of the euro in terms of risk sharing whereas the latter are now less able to smooth consumption.
Resum: The ADEMU Working Paper Series is being supported by the European Commission Horizon 2020 European Union funding for Research & Innovation, grant agreement No 649396.
Ajuts: European Commission 649396
Drets: Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial, la distribució, la comunicació pública de l'obra i la creació d'obres derivades, fins i tot amb finalitats comercials, sempre i quan es reconegui l'autoria de l'obra original. Creative Commons
Llengua: Anglès
Col·lecció: Barcelona Graduate School of Economics. ADEMU working paper series
Col·lecció: ADEMU Working Paper Series ; 55
Document: Working paper
Matèria: Consumption smoothing ; Risk sharing channels ; European Monetary Union ; Synthetic control method

Adreça alternativa: https://hdl.handle.net/10230/28282


35 p, 1.3 MB

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 Registre creat el 2018-10-23, darrera modificació el 2022-07-09



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