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A wavelet analysis of international risk-sharing

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  • Trezzi, Riccardo

Abstract

I analyze the perfect risk-sharing condition in the time–frequency domain using wavelets. Some countries engage more in risk-sharing at specific frequencies while others at all frequencies, but only for a short period of time. Increasing degree of risk-sharing over time is visible only for the UK and the US and only at low frequencies.

Suggested Citation

  • Trezzi, Riccardo, 2013. "A wavelet analysis of international risk-sharing," Economics Letters, Elsevier, vol. 118(2), pages 330-333.
    • Handle: RePEc:eee:ecolet:v:118:y:2013:i:2:p:330-333
    DOI: 10.1016/j.econlet.2012.11.025
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    References listed on IDEAS

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    1. Giancarlo Corsetti & Luca Dedola & Francesca Viani, 2012. "The international risk sharing puzzle is at business cycle and lower frequency," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(2), pages 448-471, May.
    2. Jeremy Berkowitz & Lutz Kilian, 2000. "Recent developments in bootstrapping time series," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 1-48.
    3. Backus, David K. & Smith, Gregor W., 1993. "Consumption and real exchange rates in dynamic economies with non-traded goods," Journal of International Economics, Elsevier, vol. 35(3-4), pages 297-316, November.
    4. Benigno, Gianluca & Thoenissen, Christoph, 2008. "Consumption and real exchange rates with incomplete markets and non-traded goods," Journal of International Money and Finance, Elsevier, vol. 27(6), pages 926-948, October.
    5. Luís Francisco Aguiar & Maria Joana Soares, 2010. "The Continuous Wavelet Transform: A Primer," NIPE Working Papers 23/2010, NIPE - Universidade do Minho.
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    Cited by:

    1. Martyna Marczak & Thomas Beissinger, 2016. "Bidirectional relationship between investor sentiment and excess returns: new evidence from the wavelet perspective," Applied Economics Letters, Taylor & Francis Journals, vol. 23(18), pages 1305-1311, December.
    2. Tiwari, Aviral Kumar & Oros, Cornel & Albulescu, Claudiu Tiberiu, 2014. "Revisiting the inflation–output gap relationship for France using a wavelet transform approach," Economic Modelling, Elsevier, vol. 37(C), pages 464-475.
    3. Funashima, Yoshito, 2017. "Time-varying leads and lags across frequencies using a continuous wavelet transform approach," Economic Modelling, Elsevier, vol. 60(C), pages 24-28.

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    More about this item

    Keywords

    Backus–Smith puzzle; Wavelet coherency; Time–frequency domain;
    All these keywords.

    JEL classification:

    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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