Have Consumption Risks in the G7 Countries Become Diversified?

Nikolaos Antonakakis and Johann Scharler

No 67, FIW Working Paper series from FIW

Abstract: This paper studies the dynamics of international consumption risk sharing among the G7 countries. Based on the dynamic conditional correlation model due to Engle (2002), we construct a time-varying, consumption-based measure of risk sharing. We find that although the exposure to countryspecific shocks has declined in the G7 countries, with Japan being an exception, the evolution of risk sharing is rather heterogeneous across countries.

Keywords: Dynamic conditional correlation; consumption risk sharing (search for similar items in EconPapers)
JEL-codes: E3 F4 (search for similar items in EconPapers)
Pages: 23
Date: 2011-02
New Economics Papers: this item is included in nep-mac and nep-opm
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Related works:
Working Paper: Have Consumption Risks in the G7 Countries Become Diversified? (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:wsr:wpaper:y:2011:i:067

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