because the former allows risk sharing across countries while the latter does not. The analysis is performed in a two … demonstrated that the ability to share risk across countries in the fixed rate regime does not necessarily lead to higher welfare … than the inability to share risk in the flexible rate regime …

average risk tolerance across investors. The same constant applies to every real foreign investment held by every investor … market risk premia, an average of world market volatilities, and an average of exchange rate volatilities, where we take the … exchange risk approaches zero, the constant will be equal to one minus the ratio of the variance of the world market return to …

A basic prediction of effcient risk-sharing is that relative consumption growth rates across countries or regions …, employing a newly constructed multi-country and multi-regional data set. Within countries, we find signifcant evidence for risk …. We identify this failure of risk sharing as a border effect. We find that the border effect is substantially (but not …

depends on the concentration of these aggregate shocks; it follows that one cannot estimate the degree of risk aversion from …

assets in the economy is greater than zero, an increase in inflation uncertainty will lower the risk premia on all real … assets. (3.) A preliminary empirical test of the theory using rates of return on common stocks, long-term bonds, real estate … and commodity futures contracts yields mixed results. The risk premia on long-term bonds and futures have the "wrong …

technologies and are subject to both aggregate and idiosyncratic income risk. The different asset trading technologies, which are …