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 …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

macroeconomic consequences of international uncertainty shocks in G7 countries. The curse of dimensionality is addressed by means of … flexibility in terms of achieving shrinkage. The factor structure enables us to identify an international uncertainty shock by … factors. To allow for first and second moment shocks we, moreover, assume that the uncertainty factor enters the VAR equation …

maturity races, information sensitivity, risk-intolerant debt and induced runs reinforce the liquidity risk externality …

expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The … on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by …

Liquidity has its systemic aspect that is frequently neglected in research and risk management applications. We build a …

We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …