What Macroeconomic Risks Are (Not) Shared by International Investors?
用结构向量自回归模型识别国际投资者面临的宏观经济风险来源，发现金融市场冲击的风险可通过现有资产市场分担，但消费增长、通胀和货币政策冲击的风险未完全跨国分担。
Adopting an asset-market view of international risk sharing, we identify various sources of macroeconomic risk faced by international investors using a structural Vector Autoregression model. We find that most of the risks of exogenous financial market shocks are shared by international investors through the existing asset markets. However, other macroeconomic risks such as those associatedwith exogenousshocks to consumption growth,inflationandmonetarypolicies arenot fullysharedacrosscountries. This finding helps us understand the apparently contradicting perceptions of international risk sharing generated by the analysis of asset-market returns versus that of aggregate consumption growth across countries.