A wavelet analysis of international risk-sharing

Riccardo Trezzi

Economics Letters, 2013, vol. 118, issue 2, 330-333

Abstract: I analyze the perfect risk-sharing condition in the time–frequency domain using wavelets. Some countries engage more in risk-sharing at specific frequencies while others at all frequencies, but only for a short period of time. Increasing degree of risk-sharing over time is visible only for the UK and the US and only at low frequencies.

Keywords: Backus–Smith puzzle; Wavelet coherency; Time–frequency domain (search for similar items in EconPapers)
JEL-codes: C12 C32 F41 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:118:y:2013:i:2:p:330-333

DOI: 10.1016/j.econlet.2012.11.025

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