Risk Sharing Through Capital Gains

30 Pages Posted: 24 Nov 2011 Last revised: 15 Feb 2025

See all articles by Faruk Balli

Faruk Balli

Massey University - School of Economics and Finance; Suleyman Sah University - Department of Business Administration

Sebnem Kalemli-Ozcan

University of Maryland - Department of Economics; National Bureau of Economic Research (NBER); Koc University, Graduate School of Business

Bent E. Sørensen

University of Houston - Department of Economics; Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

Date Written: November 2011

Abstract

We estimate channels of international risk sharing between European Monetary Union (EMU), European Union, and other OECD countries 1992-2007. We focus on risk sharing through savings, factor income flows, and capital gains. Risk sharing through factor income and capital gains was close to zero before 1999 but has increased since then. Risk sharing from capital gains, at about 6 percent, is higher than risk sharing from factor income flows for European Union countries and OECD countries. Risk sharing from factor income flows is higher for Euro zone countries, at 14 percent, reflecting increased international asset and liability holdings in the Euro area.

Suggested Citation

Balli, Faruk and Kalemli-Ozcan, Sebnem and Sorensen, Bent E., Risk Sharing Through Capital Gains (November 2011). NBER Working Paper No. w17612, Available at SSRN: https://ssrn.com/abstract=1964157

Faruk Balli (Contact Author)

Massey University - School of Economics and Finance ( email )

Private Bag 11-222
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Suleyman Sah University - Department of Business Administration ( email )

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Sebnem Kalemli-Ozcan

University of Maryland - Department of Economics ( email )

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National Bureau of Economic Research (NBER)

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Koc University, Graduate School of Business ( email )

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Bent E. Sorensen

University of Houston - Department of Economics ( email )

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Centre for Economic Policy Research (CEPR) ( email )

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United Kingdom

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