Abstract
Resident of the industrialized countries can lower some of their economic risk they face by diversifying their portfolios including foreign assets. In the world with perfect capital mobility, international risk sharing will reduce saving with constant relative risk aversion. The objective of this study to analyze the impact of the establishment of single currency on the degree of international risk sharing and the home bias among country member of European Union (EU). Using panel data, the increasing output correlation between individual countries and group of eleventh countries indicate the adoption of single currency increase the degree of international risk sharing.
Bahasa Abstract
International Risk Sharing (IRS) adalah pembagian risiko secara internasional antar-negara dalam suatu kawasan atau dalam kawasan berbeda yang disebabkan oleh adanya gejolak spesifik terhadap suatu perekonomian yang menyebabkan pendapatan (konsumsinya) berfluktuasi. Tujuan studi ini adalah untuk menganalisis pengaruh dari terjadinya penggabungan mata uang di negara-negara Uni Eropa terhadap perkembangan IRS dan home bias di negara-negara tersebut. Dengan melihat hubungan output dan pendapatan suatu negara dengan output dan pendapatan rata-rata kawasan, menggunakan data sebelas negara awal yang tergabung dalam mata uang tunggal Euro, studi ini menemukan bahwa penggabungan mata uang di wilayah negara-negara Uni Eropa meningkatkan risk sharing dan home bias secara signifikan.
References
[1] Arestis, P., McCauley, K., & Sawyer, M. (1999). From Common Market to EMU: A Historical Perspective of European Economic and Monetary Integration. Federal Reserve Bank of St Louis Review. Working Paper No. 263. http://128.118.178. 162/eps/mac/papers/9903/9903013.pdf (Accessed August 15, 2011).
[2] Artis, M. J. & Hofmann, M. (2004). Financial Globalization, International Business Cycles and Consumption Risk Sharing. CEPR Discussion Paper No. 4697. United Kingdom: Center for Economic Policy Research. http://ssrn.com/abstract= 639202 (Accessed January 25, 2012).
[3] Artis, M. J. & Hofmann, M. (2006). The Home Bias and Capital Income Flows Between Countries and Regions. CEPR Discussion Papers No. 5691. United Kingdom: Center for Economic Policy Research.
[4] Asdrubali, P., Srensen, B. E., & Yosha, O. (1996). Channels of Interstate Risk Sharing: United States 196-1990. The Quarterly Journal of Economics, 111 (4), 1081-1110. http://www.jstor.org/ sici?sici=0033-5533%28199611%29111%3A4% 3C1081%3ACOIRSU%3E2.0.CO%3B2-I&origin=bc& (Accessed August 15, 2011).
[5] Balassa, B. (1962). The Theory of Economic Integration. London: George Allen and Unwin.
[6] Becker, S. O. & Hoffmann, M. (2001). International Risk Sharing in the Short Run and in the Long Run. Discussion Paper Series In Economics And Econometrics No. 0102. Southampton, UK: University of Southampton, Economics Division, School of Social Sciences. http://eprints.soton. ac.uk/33096/1/0102.pdf (Accessed August 15, 2011).
[7] Binder, Michael M. & Wieland, V. (2006). The European Central Bank. Germany: Goethe University of Frankfurt and Central Center for Finance Financial Studies. http://www.volkerwieland.com/ docs/Binder_Wieland-Nov06.pdf (Accessed August 15, 2011).
[8] Faruqee, H., Li, S., & Yan, I. K. (2004). The Determinants of International Portfolio Holdings and Home Bias. IMF Working Paper WP/04/34. International Monetary Fund. http://www.imf.org/ external/pubs/ft/wp/2004/wp0434.pdf. (Accessed August 15, 2011).
[9] Feldstein, M. & Horioka, C. (1980). Domestic Saving and International Capital Flows. The Economic Jurnal, 90 (358), 314-329. http://www.jstor.org/stable/2231790. http://dipeco.economia.unimib.it/persone/ colombo/finarm/feldstein-horioka-ej-80.pdf (Accessed August 15, 2011).
[10] Foad, H. S. (2006). Equity Home Bias and the Euro. San Diego, US: San Diego State University.
[11] Fontana, G. (2006). The Federal Reserve and The European Central Bank: A Theoretical Comparison for Their Legislative Mandates. Journal of Post Keynessian Economics, 28 (3), 433-450. http://cas.umkc.edu/econ/economics/ faculty/wray/papers/Fontana.pdf (Accessed August 15, 2011).
[12] French, K. R. & Poterba, J. M. (1991). Investor Diversification and International Equity Markets. The American Economic Review, 81 (2): 222-226. Papers and Proceedings of the Hundred and Third Annual Meeting of the American Economic Association (May, 1991). American Economic Association. http://www.jstor.org/stable/2006858? origin=JSTOR-pdf. (Accessed August 15, 2011).
[13] Pollard, P. S. (2003). A Look Inside Two Central Banks: The European Central Bank and the Federal Reserve. Federal Reserve Bank of St Louis Review, 85 (1), 11{30. http://research.stlouisfed. org/publications/review/03/01/Pollard.pdf (Accessed August 15, 2011).
[14] Sorensen, B.E., Wu, Y., Yosha, O., & Zhu, Y. (2005). Home Bias and International Risk Sharing: Twin Puzzles Separated at Birth. CEPR Discussion Papers, No. 5113. United Kingdom: Center for Economic Policy Research. http://www.aeaweb.org/assa/2005/0108_ 1430_0403.pdf. (Accessed August 15, 2011).
[15] Sorensen, B. E., & Yosha, O. (1998). International Risk Sharing and European Monetary Unification. Journal of International Economic, 45 (2), 211-238. http://www.sciencedirect.com/science/ article/pii/S0022199698000336. (Accessed August 15, 2011).
[16] Van Wincoop, E. (1999). How Big Are Potential Welfare Gains from International Risk sharing? Journal of International Economics, 47 (1), 109-135. http://www.sciencedirect. com/science/article/B6V6D-3VGCBVX-5/2/ 7b676cf8e389ee83dcbb88e059a15a28 (Accessed August 15, 2011).
Recommended Citation
Triandhari, Risna and Safuan, Sugiharso
(2012)
"Pengaruh Penggabungan Mata Uang di Uni Eropa terhadap International Risk Sharing dan Home Bias,"
Jurnal Ekonomi dan Pembangunan Indonesia: Vol. 12:
No.
2, Article 4.
DOI: 10.21002/jepi.v12i2.04
Available at:
https://scholarhub.ui.ac.id/jepi/vol12/iss2/4
