generalized version of the uncovered interest rate parity and expectations hypothesis in favor of models with varying risk premia …

stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond prices and returns are readily … volatility of equity and long term bond risk premia as well as salient features of the nominal short rate, the dividend yield …

") and changes in risk aversion ("risk" for short) in the determination of the term structure, equity prices and risk … asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily driven by risk …

stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond prices and returns are readily … long-term bond risk premia as well as salient features of the nominal short rate, the dividend yield, and the term spread …

only fits standard salient asset prices features including means and volatilities for equity returns and risk free rates …

Forward interest rates have become popular indicators of inflation expectations. The usefulness of this indicator … depends on the relative volatility and the correlation of inflation expectations and expected real interest rates. This paper … expected real interest rate add to the inflation expectations is balanced by a tendency for expected real interest rates and …

using time-varying risk premia. Although the quest for the fundamental macroeconomic explanations of these risk premia is … ongoing, inflation uncertainty seems to play a large role. Finally, while modern finance theory prices bonds and other assets …

assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium … model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit … spread can be attributed largely to the risk of default and how excess loan creation may emerge due different attitudes to …

regions and clubs, finding that most gains from risk sharing can be achieved within US regions. Since a considerable fraction … gains may be obtained from further improvement of risk sharing institutions. …