backus, kehoe, and kydland (1992) calculate the correlation of hp-filtered consumption and output for 11 advanced countries relative to the us. the measured average consumption correlation was .19, whereas the average output correlation was .31. obstfeld and rogoff (1996) reports average correlation of oecd countries with world consumption (35 “benchmark” countries) of .43, whereas the average oecd country’s output correlation with world benchmark is 0.52. the really puzzling part of these results is not that consumption levels are not perfectly correlated, but that they are less correlated than output. apparently, there is hardly any risk sharing.