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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by FIW in its series FIW Working Paper series with number 067.
Date of creation: Feb 2011
Date of revision:
Contact details of provider:
Postal: FIW Project Office Austrian Institute of Economic Research Arsenal Objekt 20 A-1030 Vienna
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 Macroeconomic)
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.