The threshold consumption correlation-based approach to international capital mobility: Evidence from advanced and developing countries

Abstract

Using the consumption correlation-based criterion, this paper analyzes international capital mobility for both advanced and developing countries. We provide evidence that global capital markets are imperfectly integrated for both advanced and developing countries. However, a clear di¤erence between these groups of countries emerges when their consumption growth has stagnated; in developing countries at such times, the opportunity to smooth their consumption drops dramatically.JEL classi…cation: F3, F4

On financial liberalization and long-run risk sharing

“…While Bai and Zhang (2012) report that the degree of risk sharing has not changed over time, Artis and Hoffmann (2008) are able to show more risk sharing for OECD countries. Nagayasu (2012) finds that there is imperfect consumption smoothing for both developed and developing countries.…”