Not necessarily. I provide evidence that advanced countries' equity premium and consumption growth differ significantly from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My Bayesian analysis demonstrates that in some aspects...

While simultaneously accounting for the effects of sovereign and corporate bond spreads, we document that emerging market economy (EME) equity returns have a strong predictive power for future output growth and account for a significant fraction of output fluctuations in these countries. Our...