. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and … one with negative expected inflation. Embedded in a general equilibrium asset pricing model with learning, these dynamics … alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster …

and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation … risk premia averaging at 40bps at the long-end, and which are strongly related to the volatility factor and conditional … mean of output growth. We also document real risk premia that turn negative in the post-crisis period, and a non …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

approximates sorting countries based on risk aversion and low (high) risk-aversion currencies depreciate (appreciate) in times of …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil …

I provide empirical evidence indicating that inflation risk is time-varying and priced in the cross-section of … individual stocks in the U.S. and UK equity markets. I establish that the way inflation risk is priced in equity markets is … closely related to the cyclicality of inflation. I show that the market price of inflation shocks is positive (negative) in …

, based on it, we estimate a(n) (in)deflation risk premium. We find that our aggregate risk premium and a systemic financial … stress indicator correlate negatively. The absolute values of their (time-averaged) risk premiums and their financial … to explore the extent to which changes in the price and debt levels, are priced in by the (in)deflation risk premium. We …