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...

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...