Dynamic Risk Sharing in the United States and Europe

  title={Dynamic Risk Sharing in the United States and Europe},
  author={Pierfederico Asdrubali and Soyoung Kim},
This paper uses a panel VAR model to improve upon the existing literature on interregional risk sharing channels (e.g. Asdrubali, Sorensen and Yosha, 1996) in several respects. First, it endogenizes the output process within a multi-equation framework, capturing the dynamic feedback between output and various risk sharing channels. Second, in contrast to previous research's analysis of static risk sharing in the presence of exogenous output shocks, it uses impulse response functions to trace… CONTINUE READING