We investigate empirically how industrialized countries and U.S. states share consumption risk at horizons between one … and thirty years. U.S. federal states share about 50 percent of their permanent idiosyncratic risk through cross … share any of their permanent idiosyncratic risk. Our results suggest that purely transaction cost based theories cannot …

We develop a new approach to the decomposition of income risk within a nonstationary model of intertemporal choice. The … approach allows for changes in income risk over the life-cycle and with the business cycle. It requires only repeated cross … decomposing income risk. The approach is used to investigate the changes in income risk in Britain across the inequality growth …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

I study a long-run risk model with non-separable leisure and consumption in the Epstein-Zin preferences to price a … (small) stocks do. Here leisure acts as an 'insurance' and decreases the price of long run risk. Expected returns on stocks …