We propose an accounting framework that maps the dispersion of borrowing costs along the debt maturity structure to the misallocation of productive resources. Specif- ically, we decompose the effects of credit misallocation into two distinct channels: limited access to debt finance (scale...

This paper considers asset pricing models with stochastic differential utility incorporating decision makers' concern with ambiguity on true probability measure. Under a representative agent setting, we empirically evaluate alternative preference specifications including a multiple-priors...

This paper empirically studies the role of macro factors in explaining and predicting daily bond yields. In general, macro-finance models use low-frequency data to match with macroeconomic variables available only at low frequencies. To deal with this, we construct and estimate a tractable...