The Institute of Economics will hold a seminar meeting as part of its Seminar Series on Tuesday, November 29, 2022: Jacopo Cimadomo from the European Central Bank will present the paper "Changing Patterns of Risk-Sharing Channels in the United States and the Euro Area".
In this paper, we assess how risk-sharing channels have evolved over time in the euro area and the United States, and whether they have operated as ‘complements’ or ‘substitutes’. In particular, we focus on the capital channel (income from crossownership of productive assets), the credit channel (interstate bank lending) and the fiscal channel (federal or cross-country transfers). We offer three original contributions. First, we propose a time-varying parameter panel VAR model, with stochastic volatility, which allows to formally quantify time variation in these risk-sharing channels. Second, we develop a new test of the complementarity vs. substitutability hypothesis, based on the time-varying impulse responses to idiosyncratic shocks. Third, for the United States, we attempt to explain time variation based on some key macroeconomic and institutional changes that have occurred in the last decades.
The seminar will be held in blended mode. In person participation is possible in aula 5. For online participation please use the following link.