We test for the pricing of exchange rate and foreign inflation risk in equities. Our tests are motivated by the … Adler and Dumas (1983). Both exchange rate and foreign inflation risk factors can explain part of the within-country cross …-sectional variation in returns. Our results have important implications for hedging exchange rate risk. They also demonstrate that home …

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

, investment, and asset prices over time, as well as perceived policy risk. Quite generally, perceived risk abates as current …. The approach thus provides a measure of the evolution over time of perceived political risk from market prices. We next … compute option prices under the process generated by the model's hazard rate of policy reversal plus an additional market risk …

internationally complete financial markets, risk sharing is limited and the equilibrium allocation may be inefficient, depending on … partially circumvent the segmentation, allowing for efficient risk sharing. …

protected good, exporting it or refraining from trade in it. The domestic price of the protected good exceeds the world price in … of a quota unless it is binding. Within a general equilibrium world economy consisting of one quota-constrained and one …

-short portfolio strategy yields 12-15 percent annualized, after risk adjustment. …

, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply …

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 …