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The Evolution of International Consumption Risk Sharing Over Time And Frequency

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Abstract

Improved consumption risk sharing is one of the fundamental predicted benefits of increased financial integration, yet the empirical evidence concerning this proposition is mixed. Using the novel empirical technique of wavelet analysis, this paper for the first time in the literature uncovers the heterogeneous evolution of consumption and output correlations over the time and frequency dimensions simultaneously. Periods of strong comovement in consumption growth rates not only occur during times of common (uninsurable) shocks to output, but also to some extent during times of increased financial integration. This evidence adds a new dimension to the consumption output correlation puzzle, which appears to only hold at certain time periods and frequencies.

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File URL: http://repec.graduateinstitute.ch/pdfs/Working_papers/HEIDWP21-2010.pdf
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Bibliographic Info

Paper provided by Economics Section, The Graduate Institute of International Studies in its series IHEID Working Papers with number 21-2010.

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Length: 32 pages
Date of creation: 12 Sep 2010
Date of revision: 25 Nov 2010
Handle: RePEc:gii:giihei:heidwp21-2010

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Keywords: consumption - Output Correlation Puzzle; International Consumption Risk Sharing; Wavelet Analysis;

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