International dynamic risk sharing
研究市场摩擦下国家间的风险分担，用非均衡动态模型近似消费路径，并讨论估计与检验方法。对核心欧洲国家的实证发现，允许偏好参数跨国差异时，能识别出分担永久收入冲击风险的国家群体，但调整期较长。
Abstract In this paper we examine the implications of international risk sharing among a set of countries in the presence of market frictions which complicate the instantaneous adjustment to the first‐order conditions. We suggest approximating the consumption streams of countries belonging to the risk sharing coalition in terms of a disequilibrium dynamic model embodying forward‐looking adjustment. Econometric methods for estimating and testing the model are discussed. Empirical analysis of a set of core European countries suggests that once preference parameters are allowed to vary across countries, we are able to identify a group of nations that share risks against idiosyncratic permanent income shocks. The equilibrium position, however, is reached after a long adjustment period. Copyright © 2008 John Wiley & Sons, Ltd.