Corsetti, Giancarlo; Dedola, Luca; Viani, Francesca - Department of Economics, European University Institute - 2011
We decompose the Backus-Smith [1993] statistic -- a low or negative correlation between relative consumption and the real exchange rate at odds with a high degree of international risk sharing -- in its dynamic components at diĀ¤erent frequencies. Using multivariate spectral analysis techniques...