Risk sharing channels in OECD countries: A heterogeneous panel VAR approach
采用异质性面板VAR模型，研究了21个OECD国家1960-2018年间风险分担渠道，发现信贷市场平滑作用强，政府消费因逆周期性产生反平滑效应，实际汇率受名义汇率主导，且各国风险分担程度差异显著。
We aim to improve upon the existing empirical literature on international risk sharing channels under three dimensions. First, we generalize dynamic multi-equation approaches, by adopting a Heterogeneous Panel VAR model where the coefficients are allowed to vary across countries. Second, we introduce two new risk sharing channels – government consumption and the real exchange rate – to investigate the role of fiscal policy and international price adjustments. Third, we establish a better link between the ”channels” empirical model and a theoretical formulation of the risk sharing condition, which allows for PPP violations. Our empirical analysis, for 21 OECD countries over 1960–2018, confirms the strong smoothing role played by credit markets and the small degree of risk sharing achieved through factor incomes. Interestingly, government consumption tends to have a dis-smoothing effect, due to its counter-cyclicality. The real exchange rate is driven by the dis-smoothing role played by the nominal exchange rate, only partially offset by relative price adjustments. The evolution of these mechanisms is diverse, but we document the role played by the deterioration of credit market smoothing for the long-run decline in risk sharing started at the beginning of the century. However, the annihilation of total risk sharing at the start of the century reflects mostly the nominal exchange rate effect. Our results are strikingly different across countries, especially if we take into account the (dis-) smoothing effects occurring through the real exchange rate. Even considering only traditional risk sharing channels, the country-specific magnitude of risk sharing on impact ranges from around 10% to over 50%. In addition, dynamics are also quite diverse across countries.