Risk sharing in Europe
We analyse if consumption can be internationally detached from GDP domestic shocks due to cross border risk sharing mechanisms. We update the measurement of risk sharing for industrialized OECD countries and for several subsets of European ones. We use panel VAR models to capture the dynamic behaviour of cross border consumption smoothing through the capital markets, government and credit market channels. We also check for the substitutability among channels. Finally, we track the evolution of risk sharing over time for each channel.
PONCELA BLANCO Maria Del Pilar;
PERICOLI Filippo;
MANCA Anna Rita;
NARDO Michela;
2016-12-16
Publications Office of the European Union
JRC104621
978-92-79-64429-0,
1831-9424,
EUR 28284 EN,
OP LF-NA-28284-EN-N,
https://publications.jrc.ec.europa.eu/repository/handle/JRC104621,
10.2791/174718,
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