We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In … 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 …

Overlapping portfolios constitute a well-recognised source of risk, providing a channel for financial contagion induced … security-by-security basis from historical daily traded volumes and price returns. Systemic risk within the euro area financial … heterogeneous price impact parameters. Another new feature in this work is the application of a price-at-risk measure instead of the …

risk premium. As for the US, only a few predictors play an important role. In the case of the UK, future stock returns are …