We aim to improve upon the existing empirical literature on international risk sharing under three dimensions. First, we generalize dynamic multi-equation approaches to the estimation of risk sharing channels, by adopting a Heterogeneous Panel VAR model. Within this framework, the coefficients...

We analyse if consumption can be internationally detached from GDP domestic shocks due to cross border risk sharing mechanisms. We update the measurement of risk sharing for industrialized OECD countries and for several subsets of European ones. We use panel VAR models to capture the dynamic...