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Valuation effects and risk sharing during the era of financial globalization

Schröder, Marcel


This article empirically studies the macroeconomic impact of valuation effects for a sample of 53 countries over 1980-2010. For high-income countries, the paper finds that valuation effects operate as a consumption risk-sharing channel. For emerging market economies (EMEs), the results depend on how valuation effects correlate with domestic consumption growth. Valuation effects act as a risk-sharing channel only if the correlation is negative, and are destabilizing otherwise. Consequently, the...[Show more]

CollectionsANU Research Publications
Date published: 2019
Type: Journal article
Source: North American Journal of Economics and Finance
DOI: 10.1016/j.najef.2019.03.002


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