Perfect risk-sharing restrictions in the state space

Riccardo Trezzi

Applied Economics Letters, 2013, vol. 20, issue 6, 545-548

Abstract: I propose a state-space approach to test for international risk sharing at different horizons. Running the tests on US data vis-à-vis the rest of the world, I find that market incompleteness is pervasive: the null is rejected at all horizons.

Date: 2013
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DOI: 10.1080/13504851.2012.718059

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