We explore the impact of mortgage securitization on the international diversification of macroeconomic risk. By making … risk sharing: we find that countries with the most highly developed markets for securitized mortgage debt have consumption … risk sharing in tranquil times but that it actually fails to provide international insurance in severe crisis periods …

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 …

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 …

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 …