The econometrics of consumption risk sharing: a new perspective
AbstractIn this paper it is proposed a new time series-based approach for testing consumption risk sharing among a set of counties or regions where both the long run and short run dynamic implications of the theory are simultaneously investigated within a Vector Equilibrium Correction (VEqC) model. This allows to measure whether countries or regions insure the non-aggregate uncertainty in their resources not only with respect to transitory shocks but also with respect to permanent ones . It is suggested that conventional risk sharing test have to be properly redefined to account for the possibility of error correcting dynamics and to avoid the possibility of "endogenous regressor bias" phenomena.
How to Cite
Gardini, A., & Cavaliere, G. (2001). The econometrics of consumption risk sharing: a new perspective. Statistica, 61(4), 595–617. https://doi.org/10.6092/issn.1973-2201/1194
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