World betas, consumption growth, and financial integration

B-Tier
Journal: Journal of International Money and Finance
Year: 2011
Volume: 30
Issue: 6
Pages: 999-1018

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:jimfin:v:30:y:2011:i:6:p:999-1018
Journal Field
International
Author Count
1
Added to Database
2026-01-25