Pierfederico Asdrubali | John Cabot University (original) (raw)
Papers by Pierfederico Asdrubali
Econometric Society World Congress 2000 Contributed Papers, 2000
This paper uses a panel VAR model to improve upon the existing literature on interregional risk s... more This paper uses a panel VAR model to improve upon the existing literature on interregional risk sharing channels (e.g. Asdrubali, Sorensen and Yosha, 1996) in several respects. First, it endogenizes the output process within a multi-equation framework, capturing the dynamic feedback between output and various risk sharing channels. Second, in contrast to previous research's analysis of static risk sharing in the presence of exogenous output shocks, it uses impulse response functions to trace the role of each risk sharing channel over time, in the presence of different structural shocks (temporary vs. persistent and output vs. risk sharing channels). Third, the paper extends the risk sharing channels typically analyzed, by considering the consumption smoothing role of changes in the nominal exchange rate and relative commodity prices across regions. As a result, it is able to better address such policy issues as whether public risk sharing has been a substitute or a complement for financial market diversification activities, or whether the risk sharing role of exchange rate movements in Europe has been relatively unimportant.
Journal of International Money and Finance, Mar 1, 2023
RePEc: Research Papers in Economics, 2019
This paper aims to fill the gap on the analysis of consumption smoothing/risksharing channels at t... more This paper aims to fill the gap on the analysis of consumption smoothing/risksharing channels at the micro level, both within and across households. Using data from the Bank of Italy’s Survey on Household Income and Wealth covering the finan- cial crisis, we are able to quantify in a unified and consistent framework several risksharing mechanisms that so far have been documented separately. We find that Italian households were able to smooth about 83% of shocks household head’s earnings in 2008-2010, a fraction rising to almost 87% in 2010-2012. The most im- portant smoothing mechanisms turns out to be self-insurance through saving/dis- saving and within-household risksharing Interestingly, risksharing through port- folio diversification and private transfers are rather limited, but the overall degree of shock absorption occurring through private risksharing channels hovers around two thirds, as opposed to around one fifth of a shock cushioned by public transfers and taxes.
Routledge eBooks, Dec 7, 2022
This paper uses a panel VAR model to improve upon the existing literature on interregional risk s... more This paper uses a panel VAR model to improve upon the existing literature on interregional risk sharing channels (e.g. Asdrubali, Sorensen and Yosha, 1996) in several respects. First, it endogenizes the output process within a multi-equation framework, capturing the dynamic feedback between output and various risk sharing channels. Second, in contrast to previous research's analysis of static risk sharing in the presence of exogenous output shocks, it uses impulse response functions to trace the role of each risk sharing channel over time, in the presence of different structural shocks (temporary vs. persistent and output vs. risk sharing channels). Third, the paper extends the risk sharing channels typically analyzed, by considering the consumption smoothing role of changes in the nominal exchange rate and relative commodity prices across regions. As a result, it is able to better address such policy issues as whether public risk sharing has been a substitute or a complement f...
By fully exploiting the statistical properties of panel data, this paper improves upon existing m... more By fully exploiting the statistical properties of panel data, this paper improves upon existing methodologies to estimate consumption smoothing at least in three respects. First, we model explicitly incomplete risksharing as well as incomplete intertemporal smoothing, and couch the two mechanisms in a unified framework. Second, we fully exploit simple panel data analysis in order to measure degrees of both risksharing and intertemporal smoothing taking place in a given set of economic regions. In particular, we are able to measure not only the smoothing of idiosyncratic shocks, but also the dependence on aggregate (non-diversifiable) shocks. Third, we distinguish neatly between the effects of temporary vs. permanent shocks. This can be done by taking advantage of the complementarity between the “within ” estimator and the “between ” estimator in a panel regression. We apply the above methodology to a panel of 23 OECD countries in the period from 1955 to 2005. The main finding is con...
the current account; VAR; Feldstein-Horioka puzzle; Capital mobility
We develop a framework for quantifying the amount of risksharing among states in the US, and cons... more We develop a framework for quantifying the amount of risksharing among states in the US, and construct data which allow us to decompose a shock to gross state product into several components. For the period 1963-1990 we find that 40% of shocks to state gross domestic product are smoothed by capital markets, 14% are smoothed by the federal government, and 24% are smoothed by credit markets. The remaining 22% are not smoothed. We decompose the federal government smoothing into sub-categories: taxes, transfers, and grants to states, finding, for example, that in comparision to the tax-transfer system, the magnitude of smoothing through the grant system is small (2.7% of a shock), and that the unemployment insurance system smoothes 1.8% of a shock. Finally, we repeat the analysis for two sub-periods, finding that the amount and composition of federal government smoothing is stable through time. However, we detect an increase in the amount of capital markets smoothing, a sharp decrease i...
This paper develops a theory-based method to estimate jointly the degree of intertemporal consump... more This paper develops a theory-based method to estimate jointly the degree of intertemporal consumption smoothing and the degree of international/interregional risksharing. This approach improves upon studies that either examine only intertemporal consumption smoothing, or analyze risksharing by making an extreme assumption on intertemporal consumption smoothing, or by adopting a purely empirical framework. The method is applied to the US states and OECD and EU countries to analyze how the degrees of risksharing and intertemporal consumption smoothing differ within a country and across countries. The empirical results suggest that: 1) regardless of the assumption on the degree of intertemporal consumption smoothing, the degree of risksharing within a country is larger than across countries 2) the degree of intertemporal consumption smoothing within a country is also larger than across countries, contrary to the findings of past channel studies. Finally, this paper also provides some f...
We aim to improve upon the existing empirical literature on international risk sharing under thre... more We aim to improve upon the existing empirical literature on international risk sharing under three dimensions. First, we generalize dynamic multi-equation approaches to the estimation of risk sharing channels, by adopting a Heterogeneous Panel VAR model. Within this framework, the coefficients representing the extent of risk sharing achieved through the different mechanisms are allowed to vary across countries. Second, we introduce two new risk sharing channels – namely, government consumption and the real exchange rate (that we further decompose into relative prices and the nominal exchange rate) – which allow us to investigate the role of fiscal policy and international price adjustments in the absorption of macroeconomic shocks. Third, we establish a better link between the “channels†empirical model and a theoretical formulation of the risk sharing condition which allows for PPP violations. Our empirical analysis, for a set of 21 OECD countries over 1960-2016, contributes...
We use a simple analytical framework to study how idiosyncratic production shocks are smoothed th... more We use a simple analytical framework to study how idiosyncratic production shocks are smoothed through risksharing across Spanish provinces. By analyzing how production in the average province is successively smoothed until it is used as consumption, we find that half of the shocks have been smoothed in the period 1973-1993 and that this proportion is even higher in the last decade (1983-1993).
This paper estimates the economic impact at final beneficiary level of the Multi-Annual Programme... more This paper estimates the economic impact at final beneficiary level of the Multi-Annual Programme for enterprises and entrepreneurship EU SME Guarantee Facility in Central, Eastern and South-Eastern European (CESEE) Countries in the period 2005-2012. Data on SME beneficiaries has been collected from administrative records and enriched with information on firms' financial accounts taken from the Orbis database. The paper combines propensity scores and difference-in-differences estimation in order to evaluate the effect of having received a MAP-guaranteed SME loan on firm performance (employment, production, profitability and factor productivity) against a control group of comparable firms. Our results offer several insights. We find that the EU SME Guarantee Facility in the CESEE region had, on average, a significant positive effect on firms' employment: beneficiary firms were able to increase their workforce by 17.3%, compared to the control groups, within the first 5 years ...
Quantitative Economics, 2020
This paper aims to fill the gaps in the analysis of risk‐sharing channels at the microlevel, both... more This paper aims to fill the gaps in the analysis of risk‐sharing channels at the microlevel, both within and across households. Using data from the Bank of Italy's Survey on Household Income and Wealth covering the financial crisis, we are able to quantify in a unified and consistent framework several risk‐sharing mechanisms that so far have been documented separately. We find that Italian households were able to smooth on average about 85% of shocks to household head's earnings in both 2008–2010 and 2010–2012 spells. The most important smoothing mechanisms turn out to be self‐insurance through savings/dissavings (40% and 47% in 2008–2010 and 2010–2012, respectively), and within‐household risk‐sharing (16% and 14%). Interestingly, risk‐sharing through portfolio diversification and private transfers is rather limited, but the overall percentage of shock absorption occurring through private risk‐sharing channels hovers around four‐fifths, as opposed to around one‐fifth of a sh...
This paper aims to fill the gap on the analysis of risksharing channels at the micro level, both ... more This paper aims to fill the gap on the analysis of risksharing channels at the micro level, both within and across households. Using data from the Bank of Italy's Survey on Household Income and Wealth covering the financial crisis, we are able to quantify in a unified and consistent framework several risksharing mechanisms that so far have been documented separately. We find that Italian households were able to smooth at least 78% of shocks to household head's non-financial income (labelled "basic income") in 2008-2010, a fraction rising to 80% in 2010-2012. The most important smoothing mechanism turns out to be within-household risksharing, which is able to absorb about half of a shock; but an analysis by net wealth discloses striking differences in within-household risksharing between "poor" and "rich" households. Self-insurance through saving/dissaving is also notable, as it cushions 28% of changes in basic income in 2008-2010, and 24% in 201...
This paper uses a panel VAR model to improve upon the existing literature on interregional risk s... more This paper uses a panel VAR model to improve upon the existing literature on interregional risk sharing channels (e.g. Asdrubali, Sorensen and Yosha, 1996) in several respects. First, it endogenizes the output process within a multi-equation framework, capturing the dynamic feedback between output and various risk sharing channels. Second, in contrast to previous research's analysis of static risk sharing in the presence of exogenous output shocks, it uses impulse response functions to trace the role of each risk sharing channel over time, in the presence of different structural shocks (temporary vs. persistent and output vs. risk sharing channels). Third, the paper extends the risk sharing channels typically analyzed, by considering the consumption smoothing role of changes in the nominal exchange rate and relative commodity prices across regions. The empirical method is applied to the U.S. states, 23 OECD countries, and 15 countries in the European Union from 1960 to 1990. Reg...
Journal of Applied Econometrics
Boletin Economico Banco De Espana, 1998
This paper analyzes the allocation, redistribution and stabilization role of the EU budget from 1... more This paper analyzes the allocation, redistribution and stabilization role of the EU budget from 1976 to 2001. We use impulse responses from VAR models to infer the dynamic effect of a country's GNP on its disposable income--defined as GNP plus net EU budget transfers--both in the short run (stabilization) and in the long run (redistribution). In addition, we measure the
We develop a framework for quantifying the amount of risksharing among states in the US, and cons... more We develop a framework for quantifying the amount of risksharing among states in the US, and construct data which allow us to decompose a shock to gross state product into several components. For the period 1963-1990 we find that 40% of shocks to state gross domestic product are smoothed by capital markets, 14% are smoothed by the federal government, and
Econometric Society World Congress 2000 Contributed Papers, 2000
This paper uses a panel VAR model to improve upon the existing literature on interregional risk s... more This paper uses a panel VAR model to improve upon the existing literature on interregional risk sharing channels (e.g. Asdrubali, Sorensen and Yosha, 1996) in several respects. First, it endogenizes the output process within a multi-equation framework, capturing the dynamic feedback between output and various risk sharing channels. Second, in contrast to previous research's analysis of static risk sharing in the presence of exogenous output shocks, it uses impulse response functions to trace the role of each risk sharing channel over time, in the presence of different structural shocks (temporary vs. persistent and output vs. risk sharing channels). Third, the paper extends the risk sharing channels typically analyzed, by considering the consumption smoothing role of changes in the nominal exchange rate and relative commodity prices across regions. As a result, it is able to better address such policy issues as whether public risk sharing has been a substitute or a complement for financial market diversification activities, or whether the risk sharing role of exchange rate movements in Europe has been relatively unimportant.
Journal of International Money and Finance, Mar 1, 2023
RePEc: Research Papers in Economics, 2019
This paper aims to fill the gap on the analysis of consumption smoothing/risksharing channels at t... more This paper aims to fill the gap on the analysis of consumption smoothing/risksharing channels at the micro level, both within and across households. Using data from the Bank of Italy’s Survey on Household Income and Wealth covering the finan- cial crisis, we are able to quantify in a unified and consistent framework several risksharing mechanisms that so far have been documented separately. We find that Italian households were able to smooth about 83% of shocks household head’s earnings in 2008-2010, a fraction rising to almost 87% in 2010-2012. The most im- portant smoothing mechanisms turns out to be self-insurance through saving/dis- saving and within-household risksharing Interestingly, risksharing through port- folio diversification and private transfers are rather limited, but the overall degree of shock absorption occurring through private risksharing channels hovers around two thirds, as opposed to around one fifth of a shock cushioned by public transfers and taxes.
Routledge eBooks, Dec 7, 2022
This paper uses a panel VAR model to improve upon the existing literature on interregional risk s... more This paper uses a panel VAR model to improve upon the existing literature on interregional risk sharing channels (e.g. Asdrubali, Sorensen and Yosha, 1996) in several respects. First, it endogenizes the output process within a multi-equation framework, capturing the dynamic feedback between output and various risk sharing channels. Second, in contrast to previous research's analysis of static risk sharing in the presence of exogenous output shocks, it uses impulse response functions to trace the role of each risk sharing channel over time, in the presence of different structural shocks (temporary vs. persistent and output vs. risk sharing channels). Third, the paper extends the risk sharing channels typically analyzed, by considering the consumption smoothing role of changes in the nominal exchange rate and relative commodity prices across regions. As a result, it is able to better address such policy issues as whether public risk sharing has been a substitute or a complement f...
By fully exploiting the statistical properties of panel data, this paper improves upon existing m... more By fully exploiting the statistical properties of panel data, this paper improves upon existing methodologies to estimate consumption smoothing at least in three respects. First, we model explicitly incomplete risksharing as well as incomplete intertemporal smoothing, and couch the two mechanisms in a unified framework. Second, we fully exploit simple panel data analysis in order to measure degrees of both risksharing and intertemporal smoothing taking place in a given set of economic regions. In particular, we are able to measure not only the smoothing of idiosyncratic shocks, but also the dependence on aggregate (non-diversifiable) shocks. Third, we distinguish neatly between the effects of temporary vs. permanent shocks. This can be done by taking advantage of the complementarity between the “within ” estimator and the “between ” estimator in a panel regression. We apply the above methodology to a panel of 23 OECD countries in the period from 1955 to 2005. The main finding is con...
the current account; VAR; Feldstein-Horioka puzzle; Capital mobility
We develop a framework for quantifying the amount of risksharing among states in the US, and cons... more We develop a framework for quantifying the amount of risksharing among states in the US, and construct data which allow us to decompose a shock to gross state product into several components. For the period 1963-1990 we find that 40% of shocks to state gross domestic product are smoothed by capital markets, 14% are smoothed by the federal government, and 24% are smoothed by credit markets. The remaining 22% are not smoothed. We decompose the federal government smoothing into sub-categories: taxes, transfers, and grants to states, finding, for example, that in comparision to the tax-transfer system, the magnitude of smoothing through the grant system is small (2.7% of a shock), and that the unemployment insurance system smoothes 1.8% of a shock. Finally, we repeat the analysis for two sub-periods, finding that the amount and composition of federal government smoothing is stable through time. However, we detect an increase in the amount of capital markets smoothing, a sharp decrease i...
This paper develops a theory-based method to estimate jointly the degree of intertemporal consump... more This paper develops a theory-based method to estimate jointly the degree of intertemporal consumption smoothing and the degree of international/interregional risksharing. This approach improves upon studies that either examine only intertemporal consumption smoothing, or analyze risksharing by making an extreme assumption on intertemporal consumption smoothing, or by adopting a purely empirical framework. The method is applied to the US states and OECD and EU countries to analyze how the degrees of risksharing and intertemporal consumption smoothing differ within a country and across countries. The empirical results suggest that: 1) regardless of the assumption on the degree of intertemporal consumption smoothing, the degree of risksharing within a country is larger than across countries 2) the degree of intertemporal consumption smoothing within a country is also larger than across countries, contrary to the findings of past channel studies. Finally, this paper also provides some f...
We aim to improve upon the existing empirical literature on international risk sharing under thre... more We aim to improve upon the existing empirical literature on international risk sharing under three dimensions. First, we generalize dynamic multi-equation approaches to the estimation of risk sharing channels, by adopting a Heterogeneous Panel VAR model. Within this framework, the coefficients representing the extent of risk sharing achieved through the different mechanisms are allowed to vary across countries. Second, we introduce two new risk sharing channels – namely, government consumption and the real exchange rate (that we further decompose into relative prices and the nominal exchange rate) – which allow us to investigate the role of fiscal policy and international price adjustments in the absorption of macroeconomic shocks. Third, we establish a better link between the “channels†empirical model and a theoretical formulation of the risk sharing condition which allows for PPP violations. Our empirical analysis, for a set of 21 OECD countries over 1960-2016, contributes...
We use a simple analytical framework to study how idiosyncratic production shocks are smoothed th... more We use a simple analytical framework to study how idiosyncratic production shocks are smoothed through risksharing across Spanish provinces. By analyzing how production in the average province is successively smoothed until it is used as consumption, we find that half of the shocks have been smoothed in the period 1973-1993 and that this proportion is even higher in the last decade (1983-1993).
This paper estimates the economic impact at final beneficiary level of the Multi-Annual Programme... more This paper estimates the economic impact at final beneficiary level of the Multi-Annual Programme for enterprises and entrepreneurship EU SME Guarantee Facility in Central, Eastern and South-Eastern European (CESEE) Countries in the period 2005-2012. Data on SME beneficiaries has been collected from administrative records and enriched with information on firms' financial accounts taken from the Orbis database. The paper combines propensity scores and difference-in-differences estimation in order to evaluate the effect of having received a MAP-guaranteed SME loan on firm performance (employment, production, profitability and factor productivity) against a control group of comparable firms. Our results offer several insights. We find that the EU SME Guarantee Facility in the CESEE region had, on average, a significant positive effect on firms' employment: beneficiary firms were able to increase their workforce by 17.3%, compared to the control groups, within the first 5 years ...
Quantitative Economics, 2020
This paper aims to fill the gaps in the analysis of risk‐sharing channels at the microlevel, both... more This paper aims to fill the gaps in the analysis of risk‐sharing channels at the microlevel, both within and across households. Using data from the Bank of Italy's Survey on Household Income and Wealth covering the financial crisis, we are able to quantify in a unified and consistent framework several risk‐sharing mechanisms that so far have been documented separately. We find that Italian households were able to smooth on average about 85% of shocks to household head's earnings in both 2008–2010 and 2010–2012 spells. The most important smoothing mechanisms turn out to be self‐insurance through savings/dissavings (40% and 47% in 2008–2010 and 2010–2012, respectively), and within‐household risk‐sharing (16% and 14%). Interestingly, risk‐sharing through portfolio diversification and private transfers is rather limited, but the overall percentage of shock absorption occurring through private risk‐sharing channels hovers around four‐fifths, as opposed to around one‐fifth of a sh...
This paper aims to fill the gap on the analysis of risksharing channels at the micro level, both ... more This paper aims to fill the gap on the analysis of risksharing channels at the micro level, both within and across households. Using data from the Bank of Italy's Survey on Household Income and Wealth covering the financial crisis, we are able to quantify in a unified and consistent framework several risksharing mechanisms that so far have been documented separately. We find that Italian households were able to smooth at least 78% of shocks to household head's non-financial income (labelled "basic income") in 2008-2010, a fraction rising to 80% in 2010-2012. The most important smoothing mechanism turns out to be within-household risksharing, which is able to absorb about half of a shock; but an analysis by net wealth discloses striking differences in within-household risksharing between "poor" and "rich" households. Self-insurance through saving/dissaving is also notable, as it cushions 28% of changes in basic income in 2008-2010, and 24% in 201...
This paper uses a panel VAR model to improve upon the existing literature on interregional risk s... more This paper uses a panel VAR model to improve upon the existing literature on interregional risk sharing channels (e.g. Asdrubali, Sorensen and Yosha, 1996) in several respects. First, it endogenizes the output process within a multi-equation framework, capturing the dynamic feedback between output and various risk sharing channels. Second, in contrast to previous research's analysis of static risk sharing in the presence of exogenous output shocks, it uses impulse response functions to trace the role of each risk sharing channel over time, in the presence of different structural shocks (temporary vs. persistent and output vs. risk sharing channels). Third, the paper extends the risk sharing channels typically analyzed, by considering the consumption smoothing role of changes in the nominal exchange rate and relative commodity prices across regions. The empirical method is applied to the U.S. states, 23 OECD countries, and 15 countries in the European Union from 1960 to 1990. Reg...
Journal of Applied Econometrics
Boletin Economico Banco De Espana, 1998
This paper analyzes the allocation, redistribution and stabilization role of the EU budget from 1... more This paper analyzes the allocation, redistribution and stabilization role of the EU budget from 1976 to 2001. We use impulse responses from VAR models to infer the dynamic effect of a country's GNP on its disposable income--defined as GNP plus net EU budget transfers--both in the short run (stabilization) and in the long run (redistribution). In addition, we measure the
We develop a framework for quantifying the amount of risksharing among states in the US, and cons... more We develop a framework for quantifying the amount of risksharing among states in the US, and construct data which allow us to decompose a shock to gross state product into several components. For the period 1963-1990 we find that 40% of shocks to state gross domestic product are smoothed by capital markets, 14% are smoothed by the federal government, and