boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

approximates sorting countries based on risk aversion and low (high) risk-aversion currencies depreciate (appreciate) in times of …

approximates sorting countries based on risk aversion and low (high) risk-aversion currencies depreciate (appreciate) in times of …

. Optimal consumption risk sharing requires a reallocation of traded goods across countries. I show that such an optimal …

driven by exposure to traditional risk factors such as global equity risk, global foreign exchange volatility risk, and … downside risk but is related instead to an idiosyncratic unemployment risk …

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 …

state. It is shown that the steady state of the PtDR is jointly influenced by consumption risk, risking sharing, and the … demographic structure. Among those consumption risk is the dominating factor in shaping the variations in the steady state of the …

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

alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster … and the long-run risk paradigm can be extended towards explaining movements in the stock-bond correlation. …