Risk Sharing Opportunities and Macroeconomic Factors in Latin American and Caribbean Countries : A Consumption Insurance Assessment
This paper evaluates the degree of consumption insurance enjoyed by Latin American and Caribbean countries, with respect to various reference areas, by estimating a parameter expressing the sensitivity of a country's consumption growth to a me...
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| Format: | Policy Research Working Paper |
| Language: | English |
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World Bank, Washington, DC
2012
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| Online Access: | http://documents.worldbank.org/curated/en/2008/01/8966564/risk-sharing-opportunities-macroeconomic-factors-latin-american-caribbean-countries-consumption-insurance-assessment http://hdl.handle.net/10986/6473 |
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okr-10986-6473 |
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| recordtype |
oai_dc |
| repository_type |
Digital Repository |
| institution_category |
Foreign Institution |
| institution |
Digital Repositories |
| building |
World Bank Open Knowledge Repository |
| collection |
World Bank |
| language |
English |
| topic |
ACCOUNTING AGGREGATE COMPONENT AGGREGATE CONSUMPTION AGGREGATE GROWTH AGGREGATE INCOME BANKING SYSTEM BUFFER BUSINESS CYCLES CHANGE IN CONSUMPTION CLARITY CONSUMPTION EXPENDITURE CONSUMPTION EXPENDITURES CONSUMPTION FLUCTUATIONS CONSUMPTION GROWTH CONSUMPTION SMOOTHING CONTROL VARIABLES CORRELATION COEFFICIENTS COUNTRY LEVEL CURRENCY CURRENCY CRISES DEBT DEPENDENT VARIABLE DEVELOPED COUNTRIES DEVELOPING COUNTRIES DEVELOPMENT ECONOMICS DISCOUNT RATE DISCOUNT RATES DISTRIBUTION OF INCOME DOMESTIC CONSUMPTION DOMESTIC CREDIT DUMMY VARIABLE ECONOMETRIC ANALYSIS ECONOMIC GROWTH ECONOMIC PERSPECTIVES ECONOMIC REVIEW EMERGING MARKET ECONOMIES EMPIRICAL ANALYSIS EMPIRICAL RESULTS EQUILIBRIUM EXCHANGE RATE EXCHANGE RATE REGIME EXCHANGE RATE REGIMES EXCHANGE REGIME EXPECTED UTILITY EXPLANATORY POWER EXPLANATORY VARIABLE FINANCIAL CRISIS FINANCIAL DEPTH FINANCIAL DEVELOPMENT FINANCIAL FLOWS FINANCIAL INTEGRATION FINANCIAL MARKETS FIXED EFFECTS FLOATING EXCHANGE RATE FLOATING EXCHANGE RATE REGIME FOREIGN ASSETS FOREIGN DIRECT INVESTMENTS FOREIGN FINANCIAL MARKETS GDP GLOBALIZATION GROWTH MODEL GROWTH RATE GROWTH RATES HOUSEHOLD CONSUMPTION INCOME GROWTH INCOME SHOCKS INCOME SMOOTHING INCREASING INEQUALITY INDEBTEDNESS INDIVIDUAL COUNTRIES INEQUALITY INSURANCE INTEREST RATE INTEREST RATES INTERNATIONAL DIVERSIFICATION INTERNATIONAL ECONOMICS INTERNATIONAL FINANCIAL STATISTICS INTERNATIONAL MACROECONOMICS INTERNATIONAL OPENNESS LATIN AMERICAN LEVELS OF INVESTMENTS LIQUIDITY LOW INCOME M3 MACROECONOMIC ANALYSES MACROECONOMIC FACTORS MACROECONOMIC VARIABLES MARGINAL UTILITY MARKET CAPITALIZATION MARKET RATES MEAN VALUE MICROECONOMIC ANALYSES MONETARY ECONOMICS MONEY MARKET NATIONAL INCOME NEGATIVE SHOCKS OUTPUT GAP PER CAPITA CONSUMPTION PER CAPITA CONSUMPTION GROWTH PER CAPITA INCOME PER CAPITA INCOMES POLICY RESEARCH POLITICAL ECONOMY POSITIVE RELATIONSHIP POSITIVE SHOCKS PRIVATE SECTOR PUBLIC CONSUMPTION PUBLIC EXPENDITURE PUBLIC EXPENDITURES RAPID INCREASE RATE OF GROWTH REAL EXCHANGE RATES REAL GDP REAL INCOME REAL INTEREST RATE REAL INTEREST RATES RELATIVE IMPACT REPRESENTATIVE AGENT RISK AVERSION RISK SHARING SAVINGS SIGNIFICANT CORRELATION SMOOTHING CONSUMPTION STANDARD DEVIATION STANDARD DEVIATIONS STOCK MARKETS SUB-SAHARAN AFRICA T-VALUE TOTAL CONSUMPTION TRADE OPENNESS TREASURY BILL TREASURY BILLS TRINIDAD AND TOBAGO UNCERTAINTY UPWARD PRESSURE UTILITY FUNCTION UTILITY FUNCTIONS WEALTH WORLD DEVELOPMENT INDICATORS |
| spellingShingle |
ACCOUNTING AGGREGATE COMPONENT AGGREGATE CONSUMPTION AGGREGATE GROWTH AGGREGATE INCOME BANKING SYSTEM BUFFER BUSINESS CYCLES CHANGE IN CONSUMPTION CLARITY CONSUMPTION EXPENDITURE CONSUMPTION EXPENDITURES CONSUMPTION FLUCTUATIONS CONSUMPTION GROWTH CONSUMPTION SMOOTHING CONTROL VARIABLES CORRELATION COEFFICIENTS COUNTRY LEVEL CURRENCY CURRENCY CRISES DEBT DEPENDENT VARIABLE DEVELOPED COUNTRIES DEVELOPING COUNTRIES DEVELOPMENT ECONOMICS DISCOUNT RATE DISCOUNT RATES DISTRIBUTION OF INCOME DOMESTIC CONSUMPTION DOMESTIC CREDIT DUMMY VARIABLE ECONOMETRIC ANALYSIS ECONOMIC GROWTH ECONOMIC PERSPECTIVES ECONOMIC REVIEW EMERGING MARKET ECONOMIES EMPIRICAL ANALYSIS EMPIRICAL RESULTS EQUILIBRIUM EXCHANGE RATE EXCHANGE RATE REGIME EXCHANGE RATE REGIMES EXCHANGE REGIME EXPECTED UTILITY EXPLANATORY POWER EXPLANATORY VARIABLE FINANCIAL CRISIS FINANCIAL DEPTH FINANCIAL DEVELOPMENT FINANCIAL FLOWS FINANCIAL INTEGRATION FINANCIAL MARKETS FIXED EFFECTS FLOATING EXCHANGE RATE FLOATING EXCHANGE RATE REGIME FOREIGN ASSETS FOREIGN DIRECT INVESTMENTS FOREIGN FINANCIAL MARKETS GDP GLOBALIZATION GROWTH MODEL GROWTH RATE GROWTH RATES HOUSEHOLD CONSUMPTION INCOME GROWTH INCOME SHOCKS INCOME SMOOTHING INCREASING INEQUALITY INDEBTEDNESS INDIVIDUAL COUNTRIES INEQUALITY INSURANCE INTEREST RATE INTEREST RATES INTERNATIONAL DIVERSIFICATION INTERNATIONAL ECONOMICS INTERNATIONAL FINANCIAL STATISTICS INTERNATIONAL MACROECONOMICS INTERNATIONAL OPENNESS LATIN AMERICAN LEVELS OF INVESTMENTS LIQUIDITY LOW INCOME M3 MACROECONOMIC ANALYSES MACROECONOMIC FACTORS MACROECONOMIC VARIABLES MARGINAL UTILITY MARKET CAPITALIZATION MARKET RATES MEAN VALUE MICROECONOMIC ANALYSES MONETARY ECONOMICS MONEY MARKET NATIONAL INCOME NEGATIVE SHOCKS OUTPUT GAP PER CAPITA CONSUMPTION PER CAPITA CONSUMPTION GROWTH PER CAPITA INCOME PER CAPITA INCOMES POLICY RESEARCH POLITICAL ECONOMY POSITIVE RELATIONSHIP POSITIVE SHOCKS PRIVATE SECTOR PUBLIC CONSUMPTION PUBLIC EXPENDITURE PUBLIC EXPENDITURES RAPID INCREASE RATE OF GROWTH REAL EXCHANGE RATES REAL GDP REAL INCOME REAL INTEREST RATE REAL INTEREST RATES RELATIVE IMPACT REPRESENTATIVE AGENT RISK AVERSION RISK SHARING SAVINGS SIGNIFICANT CORRELATION SMOOTHING CONSUMPTION STANDARD DEVIATION STANDARD DEVIATIONS STOCK MARKETS SUB-SAHARAN AFRICA T-VALUE TOTAL CONSUMPTION TRADE OPENNESS TREASURY BILL TREASURY BILLS TRINIDAD AND TOBAGO UNCERTAINTY UPWARD PRESSURE UTILITY FUNCTION UTILITY FUNCTIONS WEALTH WORLD DEVELOPMENT INDICATORS Ventura, Luigi Risk Sharing Opportunities and Macroeconomic Factors in Latin American and Caribbean Countries : A Consumption Insurance Assessment |
| geographic_facet |
Latin America & Caribbean |
| relation |
Policy Research Working Paper; No. 4490 |
| description |
This paper evaluates the degree of
consumption insurance enjoyed by Latin American and
Caribbean countries, with respect to various reference
areas, by estimating a parameter expressing the sensitivity
of a country's consumption growth to a measure of
idiosyncratic shocks to income. The paper surveys common
econometric implementations of "consumption insurance
tests." The author proposes some econometric procedures
in order to detect the actual presence of international risk
sharing, as well as to assess the relative impact of
idiosyncratic versus aggregate shocks. The evidence suggests
that Latin American and Caribbean economies have been hit by
non-diversifiable income shocks, that idiosyncratic risk is
relatively more important than aggregate risk, and that some
countries in the region appear to enjoy a certain amount of
international risk diversification. The paper also
identifies some macroeconomic factors that may be
responsible for a higher or lower degree of risk pooling
(such as international openness, financial depth, and credit
availability). The findings show that the financial
development of an economy is a crucial factor in determining
the amount of risk sharing opportunities, as well as public
expenditure. The preliminary results also suggest that trade
openness and shocks to terms of trade play an important role
in determining the degree of insurability of such risks. |
| format |
Publications & Research :: Policy Research Working Paper |
| author |
Ventura, Luigi |
| author_facet |
Ventura, Luigi |
| author_sort |
Ventura, Luigi |
| title |
Risk Sharing Opportunities and Macroeconomic Factors in Latin American and Caribbean Countries : A Consumption Insurance Assessment |
| title_short |
Risk Sharing Opportunities and Macroeconomic Factors in Latin American and Caribbean Countries : A Consumption Insurance Assessment |
| title_full |
Risk Sharing Opportunities and Macroeconomic Factors in Latin American and Caribbean Countries : A Consumption Insurance Assessment |
| title_fullStr |
Risk Sharing Opportunities and Macroeconomic Factors in Latin American and Caribbean Countries : A Consumption Insurance Assessment |
| title_full_unstemmed |
Risk Sharing Opportunities and Macroeconomic Factors in Latin American and Caribbean Countries : A Consumption Insurance Assessment |
| title_sort |
risk sharing opportunities and macroeconomic factors in latin american and caribbean countries : a consumption insurance assessment |
| publisher |
World Bank, Washington, DC |
| publishDate |
2012 |
| url |
http://documents.worldbank.org/curated/en/2008/01/8966564/risk-sharing-opportunities-macroeconomic-factors-latin-american-caribbean-countries-consumption-insurance-assessment http://hdl.handle.net/10986/6473 |
| _version_ |
1764400217782747136 |
| spelling |
okr-10986-64732021-04-23T14:02:31Z Risk Sharing Opportunities and Macroeconomic Factors in Latin American and Caribbean Countries : A Consumption Insurance Assessment Ventura, Luigi ACCOUNTING AGGREGATE COMPONENT AGGREGATE CONSUMPTION AGGREGATE GROWTH AGGREGATE INCOME BANKING SYSTEM BUFFER BUSINESS CYCLES CHANGE IN CONSUMPTION CLARITY CONSUMPTION EXPENDITURE CONSUMPTION EXPENDITURES CONSUMPTION FLUCTUATIONS CONSUMPTION GROWTH CONSUMPTION SMOOTHING CONTROL VARIABLES CORRELATION COEFFICIENTS COUNTRY LEVEL CURRENCY CURRENCY CRISES DEBT DEPENDENT VARIABLE DEVELOPED COUNTRIES DEVELOPING COUNTRIES DEVELOPMENT ECONOMICS DISCOUNT RATE DISCOUNT RATES DISTRIBUTION OF INCOME DOMESTIC CONSUMPTION DOMESTIC CREDIT DUMMY VARIABLE ECONOMETRIC ANALYSIS ECONOMIC GROWTH ECONOMIC PERSPECTIVES ECONOMIC REVIEW EMERGING MARKET ECONOMIES EMPIRICAL ANALYSIS EMPIRICAL RESULTS EQUILIBRIUM EXCHANGE RATE EXCHANGE RATE REGIME EXCHANGE RATE REGIMES EXCHANGE REGIME EXPECTED UTILITY EXPLANATORY POWER EXPLANATORY VARIABLE FINANCIAL CRISIS FINANCIAL DEPTH FINANCIAL DEVELOPMENT FINANCIAL FLOWS FINANCIAL INTEGRATION FINANCIAL MARKETS FIXED EFFECTS FLOATING EXCHANGE RATE FLOATING EXCHANGE RATE REGIME FOREIGN ASSETS FOREIGN DIRECT INVESTMENTS FOREIGN FINANCIAL MARKETS GDP GLOBALIZATION GROWTH MODEL GROWTH RATE GROWTH RATES HOUSEHOLD CONSUMPTION INCOME GROWTH INCOME SHOCKS INCOME SMOOTHING INCREASING INEQUALITY INDEBTEDNESS INDIVIDUAL COUNTRIES INEQUALITY INSURANCE INTEREST RATE INTEREST RATES INTERNATIONAL DIVERSIFICATION INTERNATIONAL ECONOMICS INTERNATIONAL FINANCIAL STATISTICS INTERNATIONAL MACROECONOMICS INTERNATIONAL OPENNESS LATIN AMERICAN LEVELS OF INVESTMENTS LIQUIDITY LOW INCOME M3 MACROECONOMIC ANALYSES MACROECONOMIC FACTORS MACROECONOMIC VARIABLES MARGINAL UTILITY MARKET CAPITALIZATION MARKET RATES MEAN VALUE MICROECONOMIC ANALYSES MONETARY ECONOMICS MONEY MARKET NATIONAL INCOME NEGATIVE SHOCKS OUTPUT GAP PER CAPITA CONSUMPTION PER CAPITA CONSUMPTION GROWTH PER CAPITA INCOME PER CAPITA INCOMES POLICY RESEARCH POLITICAL ECONOMY POSITIVE RELATIONSHIP POSITIVE SHOCKS PRIVATE SECTOR PUBLIC CONSUMPTION PUBLIC EXPENDITURE PUBLIC EXPENDITURES RAPID INCREASE RATE OF GROWTH REAL EXCHANGE RATES REAL GDP REAL INCOME REAL INTEREST RATE REAL INTEREST RATES RELATIVE IMPACT REPRESENTATIVE AGENT RISK AVERSION RISK SHARING SAVINGS SIGNIFICANT CORRELATION SMOOTHING CONSUMPTION STANDARD DEVIATION STANDARD DEVIATIONS STOCK MARKETS SUB-SAHARAN AFRICA T-VALUE TOTAL CONSUMPTION TRADE OPENNESS TREASURY BILL TREASURY BILLS TRINIDAD AND TOBAGO UNCERTAINTY UPWARD PRESSURE UTILITY FUNCTION UTILITY FUNCTIONS WEALTH WORLD DEVELOPMENT INDICATORS This paper evaluates the degree of consumption insurance enjoyed by Latin American and Caribbean countries, with respect to various reference areas, by estimating a parameter expressing the sensitivity of a country's consumption growth to a measure of idiosyncratic shocks to income. The paper surveys common econometric implementations of "consumption insurance tests." The author proposes some econometric procedures in order to detect the actual presence of international risk sharing, as well as to assess the relative impact of idiosyncratic versus aggregate shocks. The evidence suggests that Latin American and Caribbean economies have been hit by non-diversifiable income shocks, that idiosyncratic risk is relatively more important than aggregate risk, and that some countries in the region appear to enjoy a certain amount of international risk diversification. The paper also identifies some macroeconomic factors that may be responsible for a higher or lower degree of risk pooling (such as international openness, financial depth, and credit availability). The findings show that the financial development of an economy is a crucial factor in determining the amount of risk sharing opportunities, as well as public expenditure. The preliminary results also suggest that trade openness and shocks to terms of trade play an important role in determining the degree of insurability of such risks. 2012-05-25T20:38:02Z 2012-05-25T20:38:02Z 2008-01 http://documents.worldbank.org/curated/en/2008/01/8966564/risk-sharing-opportunities-macroeconomic-factors-latin-american-caribbean-countries-consumption-insurance-assessment http://hdl.handle.net/10986/6473 English Policy Research Working Paper; No. 4490 CC BY 3.0 IGO http://creativecommons.org/licenses/by/3.0/igo/ World Bank World Bank, Washington, DC Publications & Research :: Policy Research Working Paper Publications & Research Latin America & Caribbean |