result has affected the risk premium and, secondly, whether there are any changes in risk pricing following the referendum …. The paper finds a significant impact of the Brexit referendum on the risk premium in selected economies. Furthermore, the … results suggest that there is a considerable change in risk pricing after the announcement of the referendum result. Credit …

the level of policy rates at the time of the news release, and risk conditions: Government bond yields increase in … response to good news, but less so when risk is elevated. Risk conditions matter since they can capture the effects of … objectives of central banks, and the effect of news announcements on the risk premium. …

Households participating in financial markets pay attention to inflation news when making their investment decisions …, even in an environment of mostly low and stable inflation. ETFs and open-ended mutual funds holding Treasury Inflation …-based inflation expectations measures increase. Changes in household survey expectations or in measures of inflation uncertainty do …

We show empirically that survey-based measures of expected inflation are significant and strong predictors of future … money illusion seems to be the driving force behind our results. Another popular hypothesis - inflation as a proxy for … aggregate risk aversion - is not supported by the data. …

market measures of inflation expectations free of any risk premium, eliminating potential biases included in other measures …In this paper we estimate inflation expectations for several Latin American countries using an affine model that takes … as factors the observed inflation and the parameters generated from zero-coupon yield curves of nominal bonds. By …

Capital Asset Pricing Model à la Merton (1973), with inflation as an independent source of risk, for France and Germany. Our …This paper studies the role of inflation in the determination of financial asset prices. We estimate an Intertemporal … the convergence process towards the single currency might have affected the role of inflation in the pricing of financial …

risk. I show that idiosyncratic risk does not change the volatility bounds at all when consumers have CRRA preferences and … that idiosyncratic risk can help to enter the bounds when idiosyncratic uncertainty depends on the aggregate state of the …

index-linked bonds for liquidity and inflation risk premia and show how their method can be adapted to account for time …-varying inflation risk premia. Furthermore, we show how sensitive the Cleveland Fed approach is to different measures of the liquidity …-linked bonds using a state-space estimation. Our results show that once one accounts for time-varying liquidity and inflation risk …