A wavelet analysis of international risk-sharing

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.

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Year of publication:	2013
Authors:	Trezzi, Riccardo
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 118.2013, 2, p. 330-333
Publisher:	Elsevier
Subject:	Backus–Smith puzzle \| Wavelet coherency \| Time–frequency domain

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Type of publication:	Article
Classification:	F41 - Open Economy Macroeconomics ; C12 - Hypothesis Testing ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

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