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Risk Sharing in Europe

Pilar Poncela (), Filippo Maria Pericoli (), Anna Rita Manca () and Michela Nardo ()
Additional contact information
Pilar Poncela: European Commission - JRC, https://ec.europa.eu/jrc/en
Michela Nardo: European Commission - JRC, https://ec.europa.eu/jrc/en

No JRC104621, JRC Working Papers from Joint Research Centre (Seville site)

Abstract: We analyse if consumption can be internationally detached from GDP domestic shocks due to cross border risk sharing mechanisms. We update the measurement of risk sharing for industrialized OECD countries and for several subsets of European ones. We use panel VAR models to capture the dynamic behaviour of cross border consumption smoothing through the capital markets, government and credit market channels. We also check for the substitutability among channels. Finally, we track the evolution of risk sharing over time for each channel.

Keywords: consumption smoothing; GDP shocks; panel VAR; risk sharing (search for similar items in EconPapers)
JEL-codes: C3 E21 F00 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-eec, nep-mac and nep-opm
Date: 2016-12
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Persistent link: https://EconPapers.repec.org/RePEc:ipt:iptwpa:jrc104621

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