@article{5cc916b503da4563a850ceb5102bb2e5,
title = "International risk sharing with heterogeneous firms",
abstract = "This paper explores international consumption risk sharing in an open economy macro model with firm heterogeneity and shows that firm entry and the self-selection of more efficient firms into exporting account for better international risk sharing. I show analytically that the conventional unconditional correlation between relative consumption and the real exchange rate is not a good metric for measuring international consumption risk sharing. World trade data covering more than two decades indicate that the extent of international risk sharing is underestimated.",
keywords = "Exchange rate, Firm heterogeneity, International risk sharing, Product quality",
author = "Masashige Hamano",
note = "Funding Information: I would like to thank the editor (Joshua Aizenman) and an anonymous referee for providing helpful comments. I am grateful to all the seminar participants and comments from the Kansai-macro workshop, Hitotsubashi University, Royal Economic Society Conference at Bristol, Sophia University, the 2017 Asian Meeting of the Econometric Society in Hong Kong, Waseda University, Norges Bank, the University of Luxembourg, Korea University, KIEP, and the 2018 EEA meeting. I am also grateful for Kongphop Wongkaew for excellent research assistance. The present project was supported by JSPS KAKENHI Grant Number 15K17027 and 18K01521. All remaining errors are my own. Funding Information: I would like to thank the editor (Joshua Aizenman) and an anonymous referee for providing helpful comments. I am grateful to all the seminar participants and comments from the Kansai-macro workshop, Hitotsubashi University, Royal Economic Society Conference at Bristol, Sophia University, the 2017 Asian Meeting of the Econometric Society in Hong Kong, Waseda University, Norges Bank, the University of Luxembourg, Korea University, KIEP, and the 2018 EEA meeting. I am also grateful for Kongphop Wongkaew for excellent research assistance. The present project was supported by JSPS KAKENHI Grant Number 15K17027 and 18K01521. All remaining errors are my own. Publisher Copyright: {\textcopyright} 2021 The Author",
year = "2022",
month = feb,
doi = "10.1016/j.jimonfin.2021.102503",
language = "English",
volume = "120",
journal = "Journal of International Money and Finance",
issn = "0261-5606",
publisher = "Elsevier BV",
}