This paper tests the importance of international financial assets and liabilities for consumption risk sharing in a general framework which allows for separate effects of equity and debt holdings as well as country-specific sensitivity to aggregate risk. Integration into both the international...

This paper tests a novel explanation for excess returns to the carry trade, namely, that investors are rewarded for exposure to equity risk of the target country. This risk factor is motivated via a hedging argument, whereby investors reallocate portfolio holdings to government debt in response...

Monetary policy loosening and the associated impact on credit availability may have played a role in the present financial crisis. If such liquidity risk exists and is undiversifiable, then loose monetary policy should be associated with a risk premium. This paper tests for the existence of such...

This paper finds economically significant levels of consumption risk sharing by industrialized and emerging/developing countries over the period 1987-2003/4. Failure to account for the distinct effects of different types of financial integration (particularly the possible procyclicality of debt...

This paper tests a factor-based explanation for positive excess carry trade returns. Equity market risk of the countries in the carry trade portfolio, a new factor in the literature, is significantly priced after controlling for commonly cited factors. One motivation for this factor is via...

We assess whether two classes of bubbles occur in the spot price of gold, rational speculative and periodically bursting bubbles, using gold's' lease rates for the first time in the literature as a measures of its fundamental value. This question is of particular significance as these are the...

We explore whether financial development reduces external investment financing constraints for firms. Within-country provincial measures of financial development are linked to investment usingdata from the Vietnamese enterprise survey (VES). We focus on three main aspects of...