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Channels of Interstate Risk Sharing: United States 1963–1990
We develop a framework for quantifying the amount of risk sharing among states in the United States, and construct data that allow us to decompose the cross-sectional variance in gross state productExpand
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GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
We examine the properties of alternative GMM procedures for estimation of the lognormal stochastic autoregressive volatility model through a large scale Monte Carlo study. We demonstrate that thereExpand
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International Risk Sharing and European Monetary Unification
We explore risk sharing patterns among European Community (EC) countries and among OECD countries during the period 1966-90. We find that, for OECD as well as for EC countries, about 40 percent ofExpand
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Home Bias and International Risk Sharing: Twin Puzzles Separated at Birth
We show that international home bias in bond and equity holdings declined during the late 1990s at the same time as international risk sharing increased. Also, countries with less home bias, onExpand
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Efficient method of moments estimation of a stochastic volatility model: A Monte Carlo study
Abstract We perform an extensive Monte Carlo study of efficient method of moments (EMM) estimation of a stochastic volatility model. EMM uses the expectation under the structural model of the scoreExpand
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How to Construct Nationally Representative Firm Level Data from the ORBIS Global Database
Firm-level data on productivity, financial activity and firms' international linkages have become essential for research in the fields of macro, international finance and growth. This paper describesExpand
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Worker Flows and Job Flows in Danish Manufacturing, 1980-91
The authors map turnover of workers and jobs in Danish manufacturing over the 1980 to 1991 period, using information about all individual manufacturing plants. They examine the relation betweenExpand
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Economic Integration, Industrial Specialization, and the Asymmetry of Macroeconomic Fluctuations
We show empirically that regions with a more specialized production structure exhibit output fluctuations that are less correlated with those of other regions (less \symmetric fluctuations). CombinedExpand
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Consumption Smoothing Through Fiscal Policy in OECD and EU Countries
We measure the amount of smoothing achieved through various components of the government deficit in EU and OECD countries. For EU countries, at the 1-year frequency percent of shocks to GDP areExpand
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Leverage Across Firms, Banks, and Countries
We present new stylized facts on bank and firm leverage during the period 2000–2009 using internationally comparable micro level data from many countries. We document the following patterns: a) thereExpand
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