superior. The intuition is simple: if underlying technologies are not convex, then risk-sharing can lower expected utility. The … likelihood of a bankruptcy cascade, "contagion," and systemic risk …

aggregate risk created by non-participants. We calibrate the heterogeneity in trading technologies to match the equity premium … and the risk-free rate. The calibrated model reproduces the skewness and kurtosis of the wealth distribution in the data … volatility of the risk-free rate …

account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …

International consumption risk sharing studies have largely ignored their models' counterfactual implications for asset … returns although these returns incorporate direct market measures of risk. In this paper, we modify a canonical risk … variance of equity returns and the risk-free rate requires persistent consumption risk, leading to three main findings: (1 …

This paper studies Pareto-optimal risk-sharing arrangements in a private information economy with aggregate uncertainty …

) bilateral exports to the United States. The patterns in the data are consistent with the theory. The mean and the variance of …

We survey literature on ambiguity with an emphasis on recent applications in macroeconomics and finance. Like risk …, ambiguity leads to cautious behavior and uncertainty premia in asset markets. Unlike risk, ambiguity can generate first order …

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 …

in their business cycles relative to those of advanced economies. Information on the domestic price of risk, cost of …