We test long-run PPP within a general model of cointegration of linear and nonlinear form. Nonlinear cointegration is tested with rank tests of Breitung (2001). We determine first the order of integration of each variable, using monthly data from the post-Bretton Woods era for G-10 countries. In...

Using both panel and cross-sectional models for 28 industrialized countries observed from 2001–2009, we report a number of findings regarding the determinants of the volatility of returns on cross-border asset holdings (i.e., equity and debt). Greater portfolio concentration and an increase in...

Using both panel and cross-sectional models for 28 industrialized countries observed from 2001 to 2009, we report a number of findings regarding the determinants of the volatility of returns on cross-border asset holdings (i.e., equity and debt). Greater portfolio concentration and an increase...

The sending of remittances is a decentralised decision of migrant workers, nevertheless it has its macroeconomic implication in providing insurance against domestic output shocks in the recipient economies – a phenomenon known in literature as risk sharing. Using a large sample of 86...

This article incorporates recent developments in the literature to quantify the amount of interprovincial risk-sharing in Canada. We find that 29% of shocks to gross provincial product are smoothed by capital markets, 27% are smoothed by the federal tax-transfer systems, and about 24% are...

This paper incorporates recent developments in the literature to quantify the amount of interprovincial risk-sharing in Canada. We find that both capital market and the federal tax-transfer system play an almost equally important role (about 26 percent each) in smoothing shocks to gross...

This paper investigates welfare gains and channels of risk sharing among 14 Middle Eastern and North African (MENA) countries, including the oil-rich Gulf region and the resource-scarce economies such as Egypt, Morocco and Tunisia. The results show that, for the 1992--2009 period, the overall...

We examine the impact of the global financial crisis on the degree of international income and consumption risk-sharing among industrial economies using returns on cross-border portfolio holdings (e.g., debt, equity, fdi). We split the returns from the net foreign holdings as receipts (inflows)...

We examine the spillover effects of local and global shocks on Gulf Cooperation Council (GCC)-wide sector equity returns. We find the GCC-wide sector returns have asynchronous responses to global and regional shocks. Although the effects of these shocks differ in magnitude across individual...

This study investigates the return spillovers and volatility spillovers from developed markets (e.g., Europe, Japan and the US) into the financial markets of selected emerging countries in Asia and the Middle East and North Africa (MENA) region. Based on constant and trend spillover models, we...