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

RIS

@ARTICLE{Antonakakis2012,
title = {Has Globalization Improved International Risk Sharing?},
author = {Nikolaos Antonakakis and Johann Scharler},
year = {2012},
url = {http://onlinelibrary.wiley.com/doi/10.1111/j.1468-2362.2012.01304.x/abstract},
volume = {15},
number = {2},
language = {EN},
pages = {255-266},
journal = {International Finance},
abstract = {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.},
}