Quotation Antonakakis, Nikolaos, Scharler, Johann. 2012. Has Globalization Improved International Risk Sharing?. International Finance 15 (2): 255-266.




In this paper, we study the dynamics of international consumption risk sharing among the G-7 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 the exposure to country-specific shocks has evolved heterogeneously across the G-7 countries and that risk sharing varies procyclically with the output gap. This dependence on the business cycle is especially pronounced in countries where credit constraints are relatively binding.


Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal International Finance
Citation Index SSCI
WU-Journal-Rating new VW-D
Language English
Title Has Globalization Improved International Risk Sharing?
Volume 15
Number 2
Year 2012
Page from 255
Page to 266
Reviewed? Y
URL http://onlinelibrary.wiley.com/doi/10.1111/j.1468-2362.2012.01304.x/abstract


Antonakakis, Nikolaos (Former researcher)
Scharler, Johann (Johannes Kepler University)
Department of Economics (Badinger) (Details)
Research Institute for European Affairs FI (Details)
Google Scholar: Search