A wavelet analysis of international risk-sharing

I analyze the perfect risk-sharing condition in the time-frequency domain using wavelets. Some countries engage more in risk-sharing at specific frequencies while others at all frequencies, but only for a short period of time. Increasing degree of risk-sharing over time is visible only for the UK and the US and only at low frequencies.

► I analyze the perfect risk-sharing condition in the time-frequency domain. ► I employ the wavelet coherency. ► Countries engage more in risk-sharing at specific frequencies. ► Others engage in risk-sharing at all frequencies, but only for a short period of time. ► Increasing risk-sharing is visible only for US and UK.