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.
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页码：330 / 333
页数：4
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