comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary freely over time, constrained … only by the fact that they are equal across (risk-adjusted) assets. Assets are allowed to have general risk characteristics … of both data and estimation. We find that expected risk-free rates vary dramatically over time, unlike short interest …

arbitrarily over time. A novel feature of our technique is that it relies upon exploiting idiosyncratic risk, since theory …

membership is not associated with significantly greater risk sharing, though risk sharing is widespread within countries. …

constant markups. The differences are important quantitatively; price differences in Hungarian exports between Germany and the …

In this paper we estimate a New-Keynesian DSGE model with heterogeneity in price and wage setting behavior. In a recent … study, Coibion and Gorodnichenko (2011) develop a DSGE model, in which firms follow four different types of price setting … heterogeneity in wage rigidity, such as the persistence in price and the wage inflation, which a standard New Keynesian model with …

firm's earnings, stock returns, and managerial ownership, because governance impacts the firm's risk-return structure. In …

propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads … to equilibration, and that, in equilibrium, risk premia are solely determined by covariance with aggregate risk. We …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our …

time-varying degree of integration that measures the importance of EU-wide risk relative to country-specific risk. The … model accounts for intra-European currency risk, time-varying quantities of risk and time-varying prices of risk. The …

markets are off equilibrium. Starting from the observation that price-taking usually applies only to small orders, a theory of … imbalance. In the context of mean-variance preferences, the theory predicts that a security’s price will correlate with excess … the short run, prices tend to a local equilibrium where the risk-aversion weighted endowment portfolio (RAWE) is mean …