, and near-frictionless refinancing opportunities---led to vastly increased systemic risk in the financial system …

This paper explores the risk structure of interest rates. More specifically, we ask whether yields on industrial and … commercial bonds indicate that market participants base their evaluations of a bond issue's default risk on agency ratings or on … equally reliable measures of risk. Although the accounting measures also affect yields on new or recently reviewed issues, our …

This paper develops two models, one involving risk neutrality and the other risk aversion, which suggest that inflation … evidence supports the hypothesis that inflation uncertainty affects interest rates. Interpreted in terms of the risk neutral … positive impact on the expected real rate. If the results are interpreted in terms of the risk averse model, inflation …

demonstrated that even if there are no outside nominal assets, the interest rate on nominal bonds contains a risk premium, or as … the case may be, a risk discount. The sign, and the magnitude, of the deviation from the Fisher parity depends on the …

preferences that generate time-varying risk over the cycle, and so account for observed asset pricing fluctuations, and for human …Recent critiques have demonstrated that existing attempts to account for the unemployment volatility puzzle of search … volatility of risk-free rates. We propose a model that is immune to these critiques and solves this puzzle by allowing for …