Have Consumption Risks in the G7 Countries Become Diversified?

Nikolaos Antonakakis and Johann Scharler

No 2010-16, Economics working papers from Department of Economics, Johannes Kepler University Linz, Austria

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.

Keywords: Dynamic conditional correlation; consumption risk sharing (search for similar items in EconPapers)
JEL-codes: E3 F4 (search for similar items in EconPapers)
Date: 2010-12
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.econ.jku.at/papers/2010/wp1016.pdf (application/pdf)

Related works:
Working Paper: Have Consumption Risks in the G7 Countries Become Diversified? (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:jku:econwp:2010_16

Access Statistics for this paper

More papers in Economics working papers from Department of Economics, Johannes Kepler University Linz, Austria
Contact information at EDIRC.
Series data maintained by René Böheim ().