Cimadomo, Jacopo; Giuliodori, Massimo; Lengyel, Andras; … - 2023
In this paper, we assess how risk-sharing channels have evolved over time in the United States and the Euro Area, and …-varying parameter panel VAR model, with stochastic volatility, which allows us to formally quantify time variation in risk …-sharing channels. Second, we develop a new test of the complementarity vs. substitutability hypothesis of the three risk …