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Have Consumption Risks in the G7 Countries Become Diversified?

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  • Nikolaos Antonakakis
  • Johann Scharler

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 country-specific shocks has declined in the G7 countries, with Japan being an exception, the evolution of risk sharing is rather heterogeneous across countries.

Suggested Citation

  • Nikolaos Antonakakis & Johann Scharler, 2010. "Have Consumption Risks in the G7 Countries Become Diversified?," Economics working papers 2010-16, Department of Economics, Johannes Kepler University Linz, Austria.
    • Handle: RePEc:jku:econwp:2010_16
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    References listed on IDEAS

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    More about this item

    Keywords

    Dynamic conditional correlation; consumption risk sharing;

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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