Encompassing measures of international consumption risk sharing and their link with trade and financial globalization
研究了1875-2016年15个工业经济体消费风险分担的时间变化，提出用综合方差比度量风险分担，发现其水平高于传统估计且与贸易和金融全球化趋势更紧密相关。
Summary We investigate international consumption risk sharing in a panel of 15 industrial economies over the historical period 1875–2016. By considering a rich empirical consumption‐income framework, we document time variation in the sensitivity of consumption growth to idiosyncratic and common shocks but even more so in the size of these shocks. We therefore suggest to measure risk sharing through the use of encompassing variance ratios that take into account all sources of time variation, rather than using the conventional measure that only considers the sensitivity of consumption to idiosyncratic income growth. Using these more encompassing measures, we estimate degrees of international risk sharing that lie above those typically reported the literature and find a closer connection with the trends in trade and financial globalization.