1 论文标题
International Consumption Risk Is Shared After All: An Asset Return View2 作者信息Karen K. Lewis, Edith X. Liu
3 出处和链接（比如，NBER working paper No.11000）
NBER Working Paper No. 17872
Issued in February 2012
NBER Program(s):   AP   EFG   IFM
4 摘要
International consumption risk sharing studies have largely ignored their models' counterfactual implications for asset returns although these returns incorporate direct market measures of risk. In this paper, we modify a canonical risk-sharing model to generate more plausible asset return behavior and then consider the effects on welfare gains. Matching the mean and variance of equity returns and the risk-free rate requires persistent consumption risk, leading to three main findings: (1) risk-sharing gains decrease as the ability to diversify persistent consumption risk decreases; (2) the international correlation of equity returns is high relative to the correlation of consumption and dividends, implying low diversification potential for persistent consumption risk; and (3) increasing persistent consumption risk reduces the gains. Taken together, our findings suggest that asset returns imply more international risk sharing than previously thought.