Eleonora Pierucci

International risk sharing and globalization

The main research question of this empirical work is whether or not globalization, in its various forms, has had an impact upon international risk sharing. The empirical literature so far has only investigated on one aspect of globalization: economic and financial integration. By decomposing globalization in its economic, political and social aspects, and using a standard framework of consumption insurance tests to gauge the extent of risk sharing among countries, we obtain some interesting results. One of the main findings is that economic and social integration help better cope with idiosyncratic risk, but also that without political integration this might result in an increasing exposure to systemic (uninsurable) risk.

The effects of public policies in fostering university spinoffs in Italy

ABSTRACT Performance-based research funding systems in the European Union include a number of established spinoffs among the measures of universities’ third mission. Through a longitudinal study on the establishment of 1254 spinoffs during 1999–2015 from 85 Italian state universities, we find that the introduction of such a policy increased the number of academic spinoffs. However, the rate of creation of academic spinoffs increased in regions with higher skilled unemployment and in universities with fewer academic career opportunities, rather than in more research-oriented or more prestigious universities. These results cast doubt on the appropriateness of measures based on the sheer number of academic spinoffs in evaluating the third mission of universities.

Channels of risk-sharing at a micro level: savings, investments and the risk aversion heterogeneity

Applying the variance decomposition developed by Asdrubali et al. (1996), the paper explores for the first time the role and the extent of smoothing channels at a micro level using a sample of UK households. Our empirical analysis of British Household Panel Survey (BHPS) data concludes that the bulk of risk-sharing in the UK is driven by the savings channel. By allowing for risk aversion heterogeneity, we detect an inverted U-shaped relationship between risk aversion and the extent of smoothing achieved through financial markets. We also analyze the issue of risk-sharing by income, education levels and by region. We find that risk-sharing is more effective (higher) for individuals whose savings are more flexible, while it is less effective (lower) for individuals characterized by relatively more stable savings rate (like the Scottish population), regardless of their economic conditions.

A note on gravity models and international investment patterns

We show that recent methodological advances in econometric theory raise questions about the results obtained by some influential contributions on the determinants of international investment patterns, since the seminal paper by Lane and Milesi-Ferretti (2008) (LMF). In most such contributions, estimated equations are affected by heteroscedasticity, which may be shown to lead to inconsistent estimates in log-linearized models. Thus, the empirical findings of these works may need to be reassessed. By taking the results in LMF as a benchmark, we use a different methodology, which produces consistent estimates even under heteroscedasticity and report substantial differences with respect to the traditional methods. Moreover, we extend the data-set over time (over years from 2001 to 2009) to estimate a panel gravity model, which allows to properly account for unobserved heterogeneity through country-pair fixed effects and further improves on the cross-section analysis, by also reconciling empirical evidence with economic theory. Our panel estimates suggest the relevance of a diversification motive in driving international equity purchases.

Redistribution and Risk Sharing in Italy: Learning from the Past

ABSTRACT Redistribution and risk sharing in Italy: learning from the past. Regional Studies. This paper investigates the role of public policies in Italy by assessing both the redistribution and the risk-sharing functions of interregional net fiscal flows in the long run. Its comparative approach allows one to contrast results obtained for two periods characterized by diverse regional policy and dynamics of regional convergence. Although based on a specific example, the evidence supports more general conclusions: when assessing the regional redistributive and risk-sharing power of national fiscal policies, many different factors related to the existing policy regime should be accounted for, particularly the distribution of government spending between current expenditure and public investment.

The impact of social capital on consumption insurance and income volatility in U.K.: evidence from british household panel survey

On BHPS data we measure various indices of social capital at the individual and household level, and use them as explanatory variables in standard consumption insurance tests. We find that two out of three aspects of social capital positively impact on consumption smoothing, by reducing the sensitivity of idiosyncratic consumption to idiosyncratic income, both in the long and in the short run. Such effects, however, turn out to be more pronounced in the long run. Further confirmation of the positive impact of social capital on insurance opportunities are derived from an income smoothing exercise, as well as from a Poisson and a Logit analysis on the occurrence of unemployment spells.

International Investment Positions and Risk Sharing: An Empirical Analysis on the Coordinated Portfolio Investment Survey

We explore the determinants of bilateral portfolio investments and their dynamics by using data from nine waves of the IMF coordinated portfolio investment survey (CPIS). The main goal of our analysis is that of understanding whether a diversification motive can be found, among the various determinants. As diversification variable, we use the correlation between the idiosyncratic components of gross domestic product (GDP) growth and take into account unobserved heterogeneity by means of a country pair-fixed effect panel model. We find strong evidence that a diversification motive is relevant to explain bilateral portfolio holdings. It also turns out that investing in stocks of less synchronised partner economies contributes to income smoothing to some extent.