Two observations suggest that financial globalization played an important role in the recent financial crisis. First …

with the local market is 30 times larger than its covariance with the world market, liberalization reduces the systematic … risk associated with holding investible securities. Consistent with this fact: 1) the average effect of the reduction in … systematic risk is 3.4 percentage points, or roughly one third of the total effect; and 2) variation in the firm …

unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price …-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are … procyclical while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross …

growth and real exchange rate changes, a key measure of international risk-sharing …

growth volatility, suggesting improved risk sharing. Our results are weaker for liberalizing emerging markets but we never …

Emerging markets business cycle models treat default risk as part of an exogenous interest rate on working capital …

We study the interrelationship between capital flows, returns, dividend yields and world interest rates in 20 emerging …