Perfect risk-sharing restrictions in the state space created by Riccardo Trezzi

By:

Trezzi Riccardo [author]

Material type: Text

TextSeries: Applied economics letters ; Volume 20, number 5New York: Taylor and Francis, 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

13504851

Subject(s):

International risk - sharing tests -- Unobserved component models

LOC classification:

HB1.A666 APP

Online resources:

Click here to access online

Abstract: I propose a state-space approach to test for international risk sharing at different horizons. Running the tests on US data vis-à-vis the rest of the world, I find that market incompleteness is pervasive: the null is rejected at all horizons.

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Holdings
Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB1.A666 APP (Browse shelf(Opens below))	Vol. 20, no. 5 (pages 549-553)	SP17976	Not for loan	For In House Use Only

I propose a state-space approach to test for international risk sharing at different horizons. Running the tests on US data vis-à-vis the rest of the world, I find that market incompleteness is pervasive: the null is rejected at all horizons.

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