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 …

general-equilibrium theory of exchange rate determination based on the interaction between monetary policy and time … volatility shocks is consistent with the empirical evidence. Furthermore we show that risk factors and interest-rate smoothing …

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 …

The foreign exchange risk premium in an exchange rate target zone regime with devaluation/realignment risks is derived … devaluation/realignment risk, is taken into account. The risk premium is then the sum of two separate risk premia, arising from … real and nominal exchange rate premia are considered. The real and nominal risk premia from movements within the band are …

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 …

a sticky-price alternative to Lucas's (1982) exchage rate risk premium model. We show that the level risk premium' in …

theory, a rise in the sex ratio (increasing relative surplus of men) can generate a decline in the real exchange rate (RER …) through both a savings channel and an effective labor supply channel. The effects can be quantitatively large if the …