International Consumption Risk Is Shared After All: An Asset Return View
---- Acknowledgements -----
We thank seminar participants at the Aarhus University Globalization Conference, Arizona State University, Cornell University, the Dallas Federal Reserve Bank, the Econometric Society, INSEAD, Keio University, the NBER Summer Institute, the Philadelphia Federal Reserve Bank, the University of North Carolina, the University of Pennsylvania, and the University of Southern California. We also thank Ravi Bansal, Max Croce, Bernard Dumas, Sebnem Kalemli-Ozcan, Dana Kiku, Andreas Stathopoulos, Linda Tesar and Amir Yaron for valuable comments. Of course, any errors are ours alone. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.