hypothesis does not imply a price for risk as big as the one measured in the data. There are three reasons for this. First … pricing risk in the economy changes so that relatively better self-insured households end up pricing risk. …

introducing costs of adjusting the stock of capital, corporate debt and risk-sharing labour contracts. We find the latter to be …

simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that …

the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we …

The risk premium in the US stock market has fallen far below its historic level, which Shiller (2000) attributes to a … bubble driven by psychological factors. As an alternative explanation, we point out that the observed risk premium may be … that they are insured against downside risk. By allowing for partial credibility and state dependent risk aversion, we show …

-linked bonds. Projections of share price uncertainty over a 30-year period show that the risk associated with such a long …

In models with a large number of agents who have constant relative risk aversion (CRRA) preferences, the absence of … insurance markets for idiosyncratic labour income risk has no effect on the premium for aggregate risk if the distribution of … idiosyncratic risk is independent of aggregate shocks. In spite of the missing markets, a representative agent who consumes …

This paper proposes a panel data approach to modeling the risk premium in the term structure of interest rates … allows us to disentangle risk premia and unexpected excess returns, which is not possible in the standard time series … full data panel of U.S. Treasury securities. Second, a considerable degree of mean reversion is present in the risk premia …

political uncertainty commands a risk premium whose magnitude is larger in poorer economic conditions. Political uncertainty …