Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/121068
Authors: 
Antonakakis, Nikolaos
Scharler, Johann
Year of Publication: 
2011
Series/Report no.: 
FIW Working Paper 67
Abstract: 
This paper studies the dynamics of international consumption risk sharing among the G7 countries. Based on the dynamic conditional correlation model due to Engle (2002), we construct a time-varying, consumption-based measure of risk sharing. We find that although the exposure to countryspecific shocks has declined in the G7 countries, with Japan being an exception, the evolution of risk sharing is rather heterogeneous across countries.
Subjects: 
Dynamic conditional correlation
consumption risk sharing
JEL: 
E3
F4
Document Type: 
Working Paper

Files in This Item:
File
Size
833.58 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.