exogenous increase in U.S.-specific uncertainty, modeled as higher volatility in U.S. assets, leads to higher risk premia in … higher global risk premia and lower global asset values. Moreover, when U.S. uncertainty rises, the exchange rate in the …

ante risk assessment and derive risk premia for every balance sheet item where liabilities are differentiated according to … priority rights. We find that risk premia reflect both idiosyncratic risk and risk of contagion (network risk). Moreover, we … show that network risk magnifies the gap between the risk premia of equity and debt. We also perform comparative statics …

This paper studies the predictability of bond risk premia by means of expectations to future business conditions using …