corporate bonds is close to zero. In contrast, the empirical finance literature documents large and time-varying risk premia in … highly exposed to the risk of economic depression. This motivates introducing a small, time-varying risk of large economic … implications. An increase in disaster risk makes default more systematic, leading to higher risk premia, and higher expected …

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 …

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

maturities. The evidence suggests that international investors' time-varying risk aversion is crucial to understand the debt …We argue that emerging economies borrow short term due to the high risk premium charged by bondholders on long …-term debt. First, we present a model where the debt maturity structure is the outcome of a risk sharing problem between the …

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 …

risk premium adjusted uncovered interest parity condition. In our view sustained violations of this constraint provide an …

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 …

allows us to disentangle risk premia and unexpected excess returns, which is not possible in the standard time series …This paper proposes a panel data approach to modeling the risk premium in the term structure of interest rates …. Specifically, we develop a fixed maturity/random time effects model that implies a time-invariant one-factor model. Our approach …

creates risk premia against the possibility that the exchange rate parity cannot be maintained, and against the possibility … currency issue. We find the growth and investment benefits of removing the risk premia outweigh any optimal currency area …

: we estimate risk premia on various financial instruments and on the exchange rate, and we show that they all move in …