expectations. The framework can match both bond yields and the observed dispersion of yield expectations in survey data … components such as risk-premia and expectations about future short rates and (ii) quantitatively important, at times accounting … for up to 125 basis points of US yields. Allowing for heterogeneous expectations also changes the estimated relative …

This paper analyzes the equilibrium pricing implications of contagion risk in a Lucastree economy with recursive … endowment shocks and regime switches. Moreover, contagion risk reduces the risk-free rate by around 0.5%. We also derive … analyze cross-sectional effects of contagion risk qualitatively. We find that heterogeneity among the assets with respect to …

forecasts and trend following rules, rational or fundamentalist expectations do not coincide with perfect foresight ones which …

option value exhibits time variation that is correlated with periods of deflationary expectations. We construct embedded …

captures how the central bank frames economic fundamentals and its monetary policy. When tone becomes more positive, stock … prices increase, whereas credit spreads and volatility risk premia decrease. These tone effects are robust to controlling for … fundamentals, policy actions, and other features of central bank communication. Our results suggest that communication tone is a …