Have Consumption Risks in the G7 Countries Become Diversified?
AbstractThis 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.
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Date of creation: Feb 2011
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Other versions of this item:
- 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.
- E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-12 (All new papers)
- NEP-MAC-2011-03-12 (Macroeconomics)
- NEP-OPM-2011-03-12 (Open Economy Macroeconomics)
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