Dataciencia

Colección SciELO Chile

World betas, consumption growth, and financial integration

Indexado

WoS	WOS:000295439400006
Scopus	SCOPUS_ID:80051809045

DOI

10.1016/J.JIMONFIN.2011.06.010

Año

2011

Tipo

artículo de investigación

Citas Totales

Autores Afiliación Chile

Instituciones Chile

% Participación
Internacional

Autores
Afiliación Extranjera

Instituciones
Extranjeras

Abstract

We define a country's beta as the covariance of domestic consumption growth with world consumption growth scaled by the world's variance. Beta is related to a country's risk-taking position in models of international financial integration. Empirically, we find that an increase in beta leads to an increase in average consumption growth. This beta-growth relationship is present only among countries with high levels of financial openness, and is absent among the rest. However, we cannot fully discard the presence of non-financial factors (e.g., trade openness) as determinants of the beta-growth relationship. (C) 2011 Elsevier Ltd. All rights reserved.

Revista

Revista	ISSN
Journal Of International Money And Finance	0261-5606

Métricas Externas

PlumX	Altmetric	Dimensions

Muestra métricas de impacto externas asociadas a la publicación. Para mayor detalle:

Plumx: https://plumanalytics.com/learn/about-metrics/
Altmetric: https://www.altmetric.com/about-altmetrics/what-are-altmetrics/
Dimensions: https://www.dimensions.ai/why-dimensions/

Disciplinas de Investigación

WOS
Business, Finance

Scopus
Economics And Econometrics
Finance

SciELO
Sin Disciplinas

Muestra la distribución de disciplinas para esta publicación.

Publicaciones WoS (Ediciones: ISSHP, ISTP, AHCI, SSCI, SCI), Scopus, SciELO Chile.

Colaboración Institucional

Muestra la distribución de colaboración, tanto nacional como extranjera, generada en esta publicación.

Autores - Afiliación

Ord.	Autor	Género	Institución - País
1	LARRAIN-CRUZAT, FRANCISCO DE BORJA	Hombre	Pontificia Universidad Católica de Chile - Chile

Muestra la afiliación y género (detectado) para los co-autores de la publicación.

Financiamiento

Fuente
Programa Bicentenario de Ciencia y Tecnología
Grupo Security
ComisiÃ³n Interministerial de Ciencia y TecnologÃa
Finance UC

Muestra la fuente de financiamiento declarada en la publicación.

Agradecimientos

Agradecimiento
This paper previously circulated with the titles “International Risk-Taking, Volatility, and Consumption Growth” and “World Covariance, Volatility, and Consumption Growth.” I particularly thank Maria Giduskova who was a coauthor in one of the earlier versions. Dennis Quinn generously allowed me to use his data on indices of financial openness. I also thank the comments and helpful discussions of John Campbell, Rodrigo Caputo, Karen Lewis, Maurice Obstfeld, Eswar Prasad, Jeremy Stein, an anonymous referee, and seminar participants at the Boston Fed, the Central Bank of Chile, the SCIEA 2006 meeting at the New York Fed, the IFM meeting at the NBER Summer Institute 2007, and the AEA 2008 meetings in New Orleans. Andrés Vicencio provided excellent research assistance. I acknowledge partial financial support from the Programa Bicentenario de Ciencia y Tecnología in the context of Concurso de Anillos de Investigación en Ciencias Sociales (code SOC-04), and from Grupo Security through Finance UC. Part of this research was done while I worked at the Federal Reserve Bank of Boston. I thank my colleagues there for a great research environment. The views expressed in this paper are solely those of the author and do not reflect official positions of the Federal Reserve Bank of Boston or the Federal Reserve System.

Agradecimiento

This paper previously circulated with the titles “International Risk-Taking, Volatility, and Consumption Growth” and “World Covariance, Volatility, and Consumption Growth.” I particularly thank Maria Giduskova who was a coauthor in one of the earlier versions. Dennis Quinn generously allowed me to use his data on indices of financial openness. I also thank the comments and helpful discussions of John Campbell, Rodrigo Caputo, Karen Lewis, Maurice Obstfeld, Eswar Prasad, Jeremy Stein, an anonymous referee, and seminar participants at the Boston Fed, the Central Bank of Chile, the SCIEA 2006 meeting at the New York Fed, the IFM meeting at the NBER Summer Institute 2007, and the AEA 2008 meetings in New Orleans. Andrés Vicencio provided excellent research assistance. I acknowledge partial financial support from the Programa Bicentenario de Ciencia y Tecnología in the context of Concurso de Anillos de Investigación en Ciencias Sociales (code SOC-04), and from Grupo Security through Finance UC. Part of this research was done while I worked at the Federal Reserve Bank of Boston. I thank my colleagues there for a great research environment. The views expressed in this paper are solely those of the author and do not reflect official positions of the Federal Reserve Bank of Boston or the Federal Reserve System.