文章基本信息

标题：Financial markets and international risk sharing in emerging market economics
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作者：Martin Schmitz
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2012
出版社：European Central Bank
摘要：In light of rapidly increasing foreign equity liability positions of emerging market economies, we test for a necessary condition of international risk sharing, namely for systematic pat- terns between idiosyncratic output uctuations and nancial market developments. Panel analysis of 22 emerging market economies shows strong evidence for pro-cyclicality of capital gains on domestic stock markets both over short and medium term horizons. This implies that domestic output uctuations can be hedged through cross-border ownership of nancial markets.
关键词：International risk sharing; capital gains; cross-border investment; nancial;globalisation; emerging market economies