International dynamic risk sharing

Giuseppe Cavaliere, Luca Fanelli () and Attilio Gardini
Additional contact information
Attilio Gardini: Department of Statistical Sciences, University of Bologna, Bologna, Italy, Postal: Department of Statistical Sciences, University of Bologna, Bologna, Italy

Journal of Applied Econometrics, 2008, vol. 23, issue 1, 1-16

Abstract: In this paper we examine the implications of international risk sharing among a set of countries in the presence of market frictions which complicate the instantaneous adjustment to the first-order conditions. We suggest approximating the consumption streams of countries belonging to the risk sharing coalition in terms of a disequilibrium dynamic model embodying forward-looking adjustment. Econometric methods for estimating and testing the model are discussed. Empirical analysis of a set of core European countries suggests that once preference parameters are allowed to vary across countries, we are able to identify a group of nations that share risks against idiosyncratic permanent income shocks. The equilibrium position, however, is reached after a long adjustment period. Copyright © 2008 John Wiley & Sons, Ltd.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://hdl.handle.net/10.1002/jae.968 Link to full text; subscription required (text/html)
http://qed.econ.queensu.ca:80/jae/2008-v23.1/ Supporting data files and programs (text/html)

Related works:
Working Paper: International dynamic risk sharing (2006)
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: https://EconPapers.repec.org/RePEc:jae:japmet:v:23:y:2008:i:1:p:1-16

Ordering information: This journal article can be ordered from
http://www3.intersci ... e.jsp?issn=0883-7252

DOI: 10.1002/jae.968

Access Statistics for this article

Journal of Applied Econometrics is currently edited by M. Hashem Pesaran

More articles in Journal of Applied Econometrics from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley-Blackwell Digital Licensing () and Christopher F. Baum ().