Balli, Faruk, Sorensen, Bent E.
We estimate the amount of income and consumption smoothing (risk sharing) between OECD countries during the period 1970{2003 with a particular focus on EU and EMU countries. Income smoothing from...
Is Risk Sharing in the United States A Regional Phenomenon? (2000)
Bent E. Sorensen, E. Sorensen, Oved Yosha
of the United States, whereas federal personal taxes are available by state from the BEA. State consumption consists of consumption by the residents of the state and consumption by the state...
Why Does Capital Flow to Rich States?
Kalemli-Ozcan, Sebnem, Reshef, Ariell, Sorensen, Bent E, Yosha, Oved
We study the determinants of net capital income flows within the United States. We analyze a simple multi-state neoclassical model in which total factor productivity varies across states and over...
Industrial specialization and the asymmetry of shocks across regions
Sebnem Kalemli-Ozcan, Bent E. Sorensen, Oved Yosha
Economic integration, through greater capital market integration, will induce higher regional specialization in production, rendering regional shocks less symmetric. To support this claim...
Sebnem Kalemli-Ozcan, Bent E. Sorensen, Oved Yosha
We find that risk sharing in the European Union (EU) has been increasing over the past decade due to increased cross-ownership of assets across countries. Industrial special- ization has also been...
US Banking Deregulation, Small Businesses and Interstate Insurance of Personal Income
Demyanyk, Yuliya, Ostergaard, Charlotte, Sorensen, Bent E
We estimate the effects of deregulation of U.S. banking restrictions on the amount of interstate personal income insurance during the period 1970--2001. Interstate income insurance occurs when...
Home Bias and International Risk Sharing: Twin Puzzles Separated at Birth
Sorensen, Bent E, Wu, Yi-Tsung, Yosha, Oved, Zhu, Yu
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, on...
Worker Flows and Job Flows in Danish Manufacturing, 1980-91
Karsten Albaek, Bent E. Sorensen
This paper examines turnover of workers and jobs on the panel of all plants in Danish manufacturing for the years 1980-1991. We relate worker turnover to job turnover with a focus on the share of...
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study
Torben G. Andersen, Bent E. Sorensen
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 there...
This paper uses ML and GMM techniques to estimate systems of stochastic differential equations that describe the behaviour of stock returns. We test restrictions implied by a continuous time asset...
Worker Flows and Job Flows in Danish Manufacturing, 1980-91.
Albaek, Karsten, Sorensen, Bent E
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 between...
Is risk sharing in the United States a regional phenomenon?
Regions within the United States routinely experience economic fluctuations that differ from those of other regions. For example, in the past few years, falling wheat prices have slowed growth in the...
Risk Sharing and Sectoral Specialization: Regional and International Evidence
Sebnem Kalemi-Ozcan, Bent E. Sorensen, Oved Yosha
We provide empirical evidence that risk sharing enhances specialization in production. To the best of our knowledge, this well-established and important theoretical proposition has not been tested...
The Buffer Stock Model and the Aggregate Propensity to Consume.
We simulate a buffer stock model of consumption at the individual level, aggregate, and estimate regressions on the aggregated (simulated) data. Regressions of consumption on current (or lagged)...
GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study.
Andersen, Torben G, Sorensen, Bent E
The authors examine alternative generalized method of moments procedures for estimation of a lognormal stochastic autoregressive volatility model by Monte Carlo methods. They document the existence...
A Continuous-Time Arbitrage-Pricing Model with Stochastic Volatility and Jumps.
Ho, Mun S, Perraudin, William R M, Sorensen, Bent E
The authors formulate and test a continuous time asset pricing model using U.S. equity market data. They assume that stock returns are driven by common factors including random jump-size Poisson...
Risk Sharing and Industrial Specialization: Regional and International Evidence
We provide empirical evidence that risk sharing enhances specialization in production. To the best of our knowledge, this well-established and important theoretical proposition has not been tested...
Consumption and Aggregate Constraints: Evidence from US States and Canadian Provinces
Ostergaard, Charlotte, Sorensen, Bent E, Yosha, Oved
State-level consumption exhibits excess sensitivity to lagged income to the same extent as US aggregate data, but state-specific (idiosyncratic) consumption exhibits substantially less sensitivity to...
The Buffer-Stock Model and the Aggregate Propensity to Consume: A Panel-Data Study of the US States
Luengo-Prado, Maria Jose, Sorensen, Bent E
We simulate a buffer-stock model of consumption, explicitly aggregate over consumers, and estimate aggregate marginal propensities to consume out of current and lagged income using simulated data...
Output fluctuations and fiscal policy : U.S. state and local governments 1978-1994
Bent E. Sorensen, Lisa Wu, Oved Yosha
What are the cyclical properties of U.S. state and local government fiscal policy? The budget surplus of local and, in particular, state governments is procyclical, smoothing disposable income and...
Risk sharing and industrial specialization ; regional and international evidence
Sebnem Kalemli-Ozcan, Bent E. Sorensen, Oved Yosha
We provide empirical evidence that risk sharing enhances specialization in production. To the best of our knowledge, this well-established and important theoretical proposition has not been tested...
Consumption and aggregate constraints : evidence from U.S. states and Canadian provinces
Charlotte Ostergaard, Bent E. Sorensen, Oved Yosha
State-level consumption exhibits excess sensitivity to lagged income to the same extent as US aggregate data, but state-specific (idiosyncratic) consumption exhibits substantially less sensitivity to...
Is risk sharing in the United States a regional phenomenon?
Regions within the United States routinely experience economic fluctuations that differ from those of other regions. For example, in the past few years, falling wheat prices have slowed growth in the...
Is state fiscal policy asymmetric over the business cycle?
A number of stabilizers are thought to mute the business cycle. One key stabilizer is federal fiscal policy. The federal budget surplus tends to rise during economic booms and fall in downturns,...
Permanent Income, Consumption and Aggregate Constraints: Evidence from US States
Bent E. Sorensen, Charlotte Ostergaard, Oved Yosha
We remove the aggregate US-wide component in US state level disposable income and consumption and find that state-specific consumption exhibits substantially less excess sensitivity to lagged...
Income and Consumption Smoothing Among US States: Regions or Clubs?
We measure the amount of income insurance and cross-sectional consumption smoothing (lending and borrowing) achieved within subgroups of states, such as regions or clubs, e.g. the club of rich...
Output Fluctuations and Fiscal Policy: US State and Local Governments 1978-1994
What are the cyclical properties of US state and local government fiscal policy? The budget surplus of local and, in particular, state governments is procyclical, smoothing disposable income and...
Kalemli-Ozcan, Sebnem, Sorensen, Bent E, Yosha, Oved
We find that risk sharing in the European Union (EU) has been increasing over the past decade due to increased cross-ownership of assets across countries. Industrial specialization has also been...
Channels of Interstate Risk Sharing: United States 1963-1990.
Asdrubali, Pierfederico, Sorensen, Bent E, Yosha, Oved
The authors develop a framework for quantifying the amount of risk sharing among states in the United States and construct data that allow them to decompose the cross-sectional variance in gross...
The authors examine the ability of the Johansen (1991) test to estimate the number of unit roots in high dimensional systems. They use data based Monte Carlo methods as a simple means of evaluating...
Balli, Faruk, Sorensen, Bent E.
We estimate the amount of income and consumption smoothing (risk sharing) between OECD countries during the period 1970{2003 with a particular focus on EU and EMU countries. Income smoothing from...
Consumption Smoothing through Fiscal Policy in OECD and EU Countries
Adriana Arreaza, Bent E. Sorensen, Oved Yosha
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 are...
Risk Sharing and Industrial Specialization: Regional and International Evidence
Sebnem Kalemli-Ozcan, Bent E. Sorensen, Oved Yosha
The authors provide empirical evidence that risk sharing enhances specialization in production. To the best of their knowledge, this well-established and important theoretical proposition has not...
Risk sharing and portfolio allocation in EMU
Yuliya Demyanyk, Charlotte Ostergaard, Bent E. Sorensen
This paper investigates whether risk sharing, measured as income and consumption smoothing, among countries in the EU and the European Economic and Monetary Union (EMU) has increased since the...
Where does Capital Flow? A Comparison of U.S. States and EU Countries 1950-2000
Sebnem Kalemli-Ozcan, Bent E. Sorensen, Belgi Turan
We find that the United States in the 1950s and 1960s was characterized by strong "catch-up growth" in the south with capital owing from rich northern states to poorer southern states - consistent...
Hryshko, Dmytro, Luengo-Prado, Maria Jose, Sorensen, Bent E
Using data from the Panel Study of Income Dynamics, we show that homeowners are able to maintain a high level of consumption following job loss (or disability) in periods of rising local house prices...
The Effect of Education on Equity Holdings
Hryshko, Dmytro, Luengo-Prado, Maria, Sorensen, Bent E
We study the effect of education on equity ownership in the form of stocks or mutual funds (outside of retirement accounts). We find a causal effect of education on stockholding using the number of...
Deep Financial Integration and Volatility
Kalemli-Ozcan, Sebnem, Sorensen, Bent E, Volosovych, Vadym
We investigate the relationship between financial integration and output volatility at micro and macro levels. Using a very large firm-level dataset (AMADEUS) from 16 European countries, we construct...
Interaction Effects in Econometrics
Ozer-Balli, Hatice, Sorensen, Bent E
We provide practical advice for applied economists regarding specification and interpretation of linear regression models with interaction terms.