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calendar_month Publicación: 01/01/2011

World Betas, Consumption Growth, and Financial Integration

Autor: Borja Larraín

Profesor Relacionado: Borja Larraín

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.

Fuente: Journal of International Money and Finance

Volumen: 30, Número: 6, Páginas: 999-1018

IF: 1,018, AI: 0,915

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