Antonakakis, Nikolaos, Scharler, Johann. 2012. Has Globalization Improved International Risk Sharing?. International Finance 15 (2): 255-266.
BibTeX
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.
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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 |
Associations
- People
- Antonakakis, Nikolaos (Former researcher)
- External
- Scharler, Johann (Johannes Kepler University)
- Organization
- Department of Economics (Badinger) (Details)
- Research Institute for European Affairs FI (Details)