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Risk Sharing in Europe

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Abstract

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.

Suggested Citation

  • Pilar Poncela & Filippo Pericoli & Anna Manca & Filippo Michela Nardo, 2016. "Risk Sharing in Europe," JRC Research Reports JRC104621, Joint Research Centre.
    • Handle: RePEc:ipt:iptwpa:jrc104621
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    1. Bofinger, Peter & Feld, Lars P. & Schmidt, Christoph M. & Schnabel, Isabel & Wieland, Volker, 2018. "Vor wichtigen wirtschaftspolitischen Weichenstellungen. Jahresgutachten 2018/19 [Setting the Right Course for Economic Policy. Annual Report 2018/19]," Annual Economic Reports / Jahresgutachten, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, volume 127, number 201819, February.
    2. Gabrisch, Hubert, 2018. "A fire department for the Euro area: reflections on a fiscal risk-sharing capacity," MPRA Paper 83965, University Library of Munich, Germany.
    3. Esther Gordo & Ivan Kataryniuk, 2019. "Towards a more resilient euro area," Economics and Business Letters, Oviedo University Press, vol. 8(2), pages 106-114.
    4. Ferrari, Alessandro & Rogantini Picco, Anna, 2023. "Risk sharing and the adoption of the Euro," Journal of International Economics, Elsevier, vol. 141(C).

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    More about this item

    Keywords

    consumption smoothing; GDP shocks; panel VAR; risk sharing;
    All these keywords.

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • F00 - International Economics - - General - - - General

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