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This paper estimates an empirical nonstationary panel regression model that tests long-run consumption risk sharing across a sample of OECD and emerging market (EM) countries. This is in contrast to the existing literature on consumption risk sharing, which is mainly about risks at business cycle frequency. Since our methodology focuses on identifying cointegrating relationships while allowing for arbitrary short-run dynamics, we can obtain a consistent estimate of long-run risk sharing while disregarding any short-run nuisance factors. Our results show that long-run risk sharing in OECD countries increased more than that in EM countries during the past two decades.

Consumption (Economics) --- Risk management. --- International economic relations. --- Forecasting. --- International cooperation. --- Consumer demand --- Consumer spending --- Consumerism --- Spending, Consumer --- Demand (Economic theory) --- Economic policy, Foreign --- Economic relations, Foreign --- Economics, International --- Foreign economic policy --- Foreign economic relations --- Interdependence of nations --- International economic policy --- International economics --- New international economic order --- Economic policy --- International relations --- Economic sanctions --- Insurance --- Management --- Finance: General --- Macroeconomics --- General Financial Markets: General (includes Measurement and Data) --- Macroeconomics: Consumption --- Saving --- Wealth --- Insurance Companies --- Actuarial Studies --- Prices, Business Fluctuations, and Cycles: General (includes Measurement and Data) --- Finance --- Insurance & actuarial studies --- Economic growth --- Consumption --- Financial integration --- Emerging and frontier financial markets --- Business cycles --- Economics --- International finance --- Financial services industry --- Hong Kong Special Administrative Region, People's Republic of China