artículo
World betas, consumption growth, and financial integration
Fecha
2011Registro en:
10.1016/j.jimonfin.2011.06.010
0261-5606
WOS:000295439400006
Autor
Larrain, Borja
Institución
Resumen
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. (C) 2011 Elsevier Ltd. All rights reserved.