Keynesian model. Relative to Representative Agent (RANK) models, our framework introduces a precautionary-savings channel, as … households in both countries face uninsurable income risk, and a real-income channel, as households have heterogeneous marginal … propensities to consume (MPC). While both channels amplify the size of spillovers/spillbacks, only precautionary savings can change …

We study general equilibrium asset prices in a multi-period endowment economy when agents' risk aversion is allowed to … depend on the maturity of the risk. We find horizon-dependent riskaversion preferences generate a decreasing term structure … of risk premia if and only if volatility is stochastic. Our model can thus justify the recent empirical results on the …

predictions from dealer inventory risk models, we find (1) a strong negative link to end-of-day order imbalance; (2) reversals are … trading hours. Second, shocks to end-of-day quantities of risk lead to increases in overnight expected returns. …

interest rate environment. Higher risk increases the demand for safe assets, lowering the natural rate of interest below zero …

funds are significantly more susceptible to run risk than any other category of debt funds, including corporate bond funds …