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This study explores the relationships among various dimensions of globalization (i.e., economic, social, and political) and international risk-sharing, by exploiting the KOF globalization indices over a long time horizon (1970–2014) and for several groups of countries (i.e., World; Organisation for Economic Cooperation and Development (OECD); European Union (EU); European Monetary Union (EMU); high-income economies (HI); and low and middle-income economies (LMI)). To this end, we follow a standard regression-based approach augmented by interaction terms. To date, the empirical literature has only investigated the economic and financial facets of globalization; we, on the other hand, find a significant relationship between risk-sharing and noneconomic aspects of globalization. For several groups of industrialized countries, social and political integration positively correlate with risk-sharing. The economic factor does not explain all the improvements that relate to globalization, and political integration plays a remarkable role in shaping risk-sharing opportunities, both among EMU/EU countries and on a global scale. For advanced economies, in an increasingly globalized world, political integration should be of great concern.

Mestrado em Economia Monetária e Financeira Esta dissertação estuda o impacto da abertura da balança de capitais no nível de partilha de risco internacional no consumo e no investimento. Fá-lo ao analisar um painel de 100 economias avançadas e em desenvolvimento para os períodos anuais entre 1995 e 2016. Os resultados econométricos indicam que as economias com balanças de capitais completamente abertas dependem entre 20% e 50% menos do crescimento do seu produto doméstico para financiar o crescimento do consumo, enquanto o crescimento do seu investimento apresenta cerca de metade da sensibilidade ao crescimento do produto doméstico. Os resultados para o grau de partilha de risco no consumo no nível médio de controlos de capitais é aproximadamente comparável àqueles encontrados na literatura, mas a novidade deste exercício é a documentação da sensibilidade da partilha de risco no consumo em relação a medidas variadas de controlos de capitais em diferentes grupos de países, utilizando uma amostra mais actualizada. A abordagem para medir a partilha de risco no investimento é um acréscimo àquilo que normalmente é feito em estudos de avaliação de partilha de risco internacional. Na medida em que excessiva sensibilidade do consumo e do investimento em relação aos choques do produto doméstico reduzem o bem-estar social, os resultados empíricos desta tese sublinham alguns dos benefícios principais da abertura da balança de capitais. This dissertation studies the impact of capital account openness on the level of consumption and investment international risk-sharing. It does so by analyzing a panel consisting of 100 advanced and developing economies for the annual periods between 1995 and 2016. The econometric results indicate that economies with completely open capital accounts have approximately between 20% and 50% less dependence on domestic income growth to finance their consumption growth whilst their investment growth is up to one half less sensitive on domestic output growth. The findings for the degree of consumption risk-sharing at the mean level of capital controls are roughly comparable with those previously found in the literature, but the novelty of this exercise is to document the sensitivity of consumption risk-sharing to measures of capital controls across distinct country groups and using a more up-to-date sample. The approach for measuring investment risk-sharing is an addition to what has been done in usual studies of international risk-sharing assessments. To the extent that excessive sensitivity of consumption and investment to domestic income shocks detract from societal welfare, the empirical findings of this thesis highlight some of the overall benefits of capital account openness. info:eu-repo/semantics/publishedVersion

We decompose the Backus-Smith [1993] statistic --- a low or negative correlation between relative consumption and the real exchange rate at odds with a high degree of international risk sharing --- in its dynamic components at different frequencies. Using multivariate spectral analysis techniques we show that, in most OECD countries, the dynamic correlation tends to be more negative, and significantly so, at business cycle or lower frequencies --- the appropriate frequencies for assessing the performance of international business cycle models. Theoretically, we show that the dynamic correlation predicted by standard open-economy models is the sum of two terms: a term constant across frequencies, which can be negative as a function of uninsurable risk; a term variable across frequencies, which in bond economies is necessarily positive, reflecting the insurance intertemporal trade provides against forecastable contingencies. We show that the main mechanisms proposed in the literature to account for the puzzle are consistent with the evidence.

Since the independences, having a single currency is an official policy objective of West African countries. In April 2000, West African decisions-makers decided to accelerate the integration of the region by creating a second monetary zone in addition to the WAEMU (West African Economic and Monetary Union). On economic grounds, several academics argue that a monetary union in West Africa would be costly because of the predominance of asymmetric shocks. When shocks are divergent, a common monetary policy is inappropriate and ineffective. This conclusion is however static and does not include structural changes that happen after the creation of a monetary union. The launch of monetary union helps countries to cope with asymmetric shocks. This article proposes the analysis of mechanisms that a West African Monetary Union could develop in order to alleviate the costs of asymmetric shocks. The results suggest that a West African currency could be OCA (Optimal Currency Areas) compliant by the intensification of regional trade and the development of regional credit markets which facilitate the risk-sharing strategies.

Standard models of international risk sharing with complete asset markets predict a positive association between relative consumption growth and real exchange-rate depreciations across countries. The striking lack of evidence for this link - the consumption/real exchange-rate anomaly or Backus-Smith puzzle - has prompted research on risk-sharing indicators with incomplete asset markets. That research generally implies that the association holds in forecasts, rather than realizations. Using professional forecasts for 28 countries for 1990-2008 we find no such association, thus deepening the puzzle. Independent evidence on the weak link between forecasts for consumption and real interest rates suggests that the presence of 'hand-to-mouth' consumers may help to explain the evidence.

This paper evaluates the impact of privatization on the development of capital markets in a two-country general equilibrium model. We draw particular attention to two divestment techniques, share issue privatizations (in developed market systems) and voucher privatizations (in transition economies). It is shown how these two privatization methods can have an impact, by diversification effects, on supplies of private assets, demands for assets, market capitalizations and international asset allocation strategies. We show that even a non-marketed privatization (free distribution of public assets to private individuals) has market-effects, by altering portfolio choices.