We propose a frictionless general equilibrium model in which two international consumers with recursive preferences trade two consumption goods and a complete set of date and state contingent securities. Consumption home bias and concern for the temporal distribution of risk generate rich...

We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An increase in country's output volatility is associated with a decrease in its output, consumption, and net exports....

This paper documents that seasonal temperatures have significant and systematic effects on the U.S. economy, both at the aggregate level and across a wide crosssection of economic sectors. This effect is particularly strong for the summer: an increase of 1êF in the average summer temperature is...

Focusing on US and UK, we document that both the Backus and Smith (1993) finding, concerning the low correlation between consumption differentials and exchange rates, and the forward-premium anomaly, concerning the tendency of high interest rate currencies to appreciate, have become more severe...

country, representative consumers economy, we document that the risk-sharing scheme produces a non trivial dynamics of net exports and it is also capable of explaining the tendency of high interest rate currencies to appreciate.

We propose a new entropy-based correlation measure (co-entropy) to evaluate the performance of international asset pricing models. Co-entropy summarizes in a single number the extent of co-dependence between two variables beyond normality. We document that the co-entropy of international...

This paper documents that seasonal temperatures have significant and systematic effects on the U.S. economy, both at the aggregate level and across a wide crosssection of economic sectors. This effect is particularly strong for the summer: an increase of 1°F in the average summer temperature is...