Risk Sharing in Europe

Pilar Poncela, Filippo Maria Pericoli, Anna Rita Manca () and Michela Nardo ()
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Michela Nardo: European Commission - JRC, https://joint-research-centre.ec.europa.eu/index_en

No JRC104621, JRC Research Reports from Joint Research Centre

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)
Pages: 41 pages
Date: 2016-12
New Economics Papers: this item is included in nep-eec, nep-mac and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:ipt:iptwpa:jrc104621

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