This dissertation contributes to the growing literature of international finance on capital market integration and consumption risk sharing in emerging economies. I identify threshold effects in terms of financial market integration to demarcate regimes with varying extent of international risk sharing in emerging economies. In Chapter 2, I study a model of a small open economy to see how default decisions affect incentives for international consumption risk-sharing based on varying levels of debt to capital ratio in emerging economies while in Chapter 3, I employ a novel endogenous threshold identification method developed by Hansen (1999) for balanced panels, to empirically identify threshold effects of capital market integration on consumption risk-sharing in emerging economies. Finally in Chapter 4, I study the determinants of the capital market integration via level and composition of foreign assets held by emerging economies, exploiting temporal and cross-sectional variation in a panel data set of 37 emerging economies from 1970 - 2007.