Have Consumption Risks in the G7 Countries Become Diversified?

Arbeitspapier

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

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: FIW Working Paper ; No. 67

Classification and Topics

• Classification: Wirtschaft
• Subject: Dynamic conditional correlation ; consumption risk sharing

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Antonakakis, Nikolaos ; Scharler, Johann
• Event: Veröffentlichung
• (who): FIW - Research Centre International Economics
• (where): Vienna
• (when): 2011

Further information

• Handle: http://hdl.handle.net/10419/121068
• Last update: 10.03.2025, 11:44 AM CET