Sharing asymmetric tail risk: smoothing, asset pricing and terms of trade
Bank of International Settlements
Aug 10, 2021
Table of Contents
Crises and tail events have asymmetric effects across borders, raising the value of arrangements improving insurance of macroeconomic risk. Using a two-country DSGE model, we provide an analytical and quantitative analysis of the channels through which countries gain from sharing (tail) risk.
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Sharing asymmetric tail risk: smoothing, asset pricing and terms of trade
Crises and tail events have asymmetric effects across borders, raising the value of arrangements improving insurance of macroeconomic risk. Using a two-country DSGE model,
