paper studies a simple real business cycle model with a small, exogenously time-varying risk of disaster, and shows that it …A large empirical literature suggests that risk premia on stocks or corporate bonds are large and countercyclical. This … can replicate several important facts documented in the literature. In the model, an increase in disaster risk leads to a …

our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her … risk perception which shape saving propensities over time. In bad times, when risk is perceived to be higher in the short …We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In …

Climate change is one of the greatest economic challenges of our time. Given the scale of the problem, the question of … generates large welfare gains, it also reduces risk premiums and raises the average risk-free real rate. The effect of the tax …

We estimate time-varying expected excess returns on the US stock market from 1983 to 2008 using a model that jointly … structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

, adjusting corporate bond spreads for credit risk of the issuer and the term, coupon and liquidity premia. I find that the … rating-adjustment and time-varying parameter estimates seem to be particularly important. Although the predictive power of …

-`a-vis government bonds can be attributed to differences in liquidity premia. Adding the information on risk-free rates, we obtain model …

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new … calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward … sloping during the crisis. The instantaneous risk premium increased significantly during the crisis, whereas the long-run mean …

This study analyses the effects of euro area monetary policy on equity risk premia (ERP). We find that changes in … economic activity – rather than fluctuations in investors’ required risk compensation. Furthermore, the ERP appears to not have … effects over time suggests that the two might have largely offset each other since the introduction of unconventional monetary …