role for capital flows as a result of assets’ changing expected returns and risk characteristics. In this paper, we develop … approach identifies the timevarying portfolio shares that result from assets’ time-varying expected returns and risk …

the world real interest rate and therefore shed new light on the real side of the interest rate conundrum. …

degree of financial integration in the world economy. A growing body of research emphasizes the increasing leverage in …

current account turns negative because households borrow from the rest of the world. At the same time, however, the world real …

rate adjustments. The formulation is theory-based, relying on balance of payments equilibrium conditions and international … asset portfolio considerations. Based on the modified exchange market pressure index, the paper also proposes a global risk … response index, which reflects the country-specific sensitivity of capital flow pressures to measures of global risk aversion …

taxes can be beneficial for individual countries, although it would limit cross-border pooling of risk. The reason is … because, while consumption risk-pooling is important, individual countries also care about domestic output fluctuations … crucial to ensure cross-border risk sharing. Our findings point to the possibility of costly capital control wars and thus to …