Quotation Antonakakis, Nikolaos, Scharler, Johann. 2012. Has Globalization Improved International Risk Sharing?. International Finance 15 (2): 255-266.


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Abstract

In this paper, we study the dynamics of international consumption risk sharing among the G-7 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 the exposure to country-specific shocks has evolved heterogeneously across the G-7 countries and that risk sharing varies procyclically with the output gap. This dependence on the business cycle is especially pronounced in countries where credit constraints are relatively binding.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal International Finance
Citation Index SSCI
WU-Journal-Rating new VW-D
Language English
Title Has Globalization Improved International Risk Sharing?
Volume 15
Number 2
Year 2012
Page from 255
Page to 266
Reviewed? Y
URL http://onlinelibrary.wiley.com/doi/10.1111/j.1468-2362.2012.01304.x/abstract

Associations

People
Antonakakis, Nikolaos (Former researcher)
External
Scharler, Johann (Johannes Kepler University)
Organization
Department of Economics (Badinger) (Details)
Research Institute for European Affairs FI (Details)
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