A wavelet analysis of international risk-sharing

被引：5

作者：

Trezzi, Riccardo ^{[1
]}

机构：

[1] Univ Cambridge, Fac Econ, Cambridge, England

来源：

ECONOMICS LETTERS | 2013年 / 118卷 / 02期

关键词：

Backus-Smith puzzle; Wavelet coherency; Time-frequency domain; REAL EXCHANGE-RATES; NONTRADED GOODS; CONSUMPTION;

D O I：

10.1016/j.econlet.2012.11.025

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：330 / 333

页数：4

共 5 条

[1]

Aguiar-Conraria Luis, 2011, NIPE WORKING PAPERS, P16

[2]

[Anonymous], 2000, Econ. Rev, DOI DOI 10.1080/07474930008800457

[3] CONSUMPTION AND REAL EXCHANGE-RATES IN DYNAMIC ECONOMIES WITH NONTRADED GOODS [J].