Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/73607
Authors: 
Antonakakis, Nikolaos
Scharler, Johann
Year of Publication: 
2010
Series/Report no.: 
Working Paper, Department of Economics, Johannes Kepler University of Linz 1016
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 country-specific 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

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