Asset price data imply a large degree of international risk sharing, while aggregate consumption data do not. We …. Active households pay a fixed cost to transfer income into or out of assets. These households share risk within and across … countries, and their marginal utility growth prices assets, so asset prices imply high international risk sharing. Inactive …

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 …

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 …