The variance risk premium represents the compensation paid to index option sellers for the risk of losses following … produce a sizable and volatile variance risk premium. These shocks coincide with major events such as the LTCM/Russian crisis … risk premium, generating short-term predictability for market excess returns, consistent with the data. In addition, the …

risk aversion and the intertemporal elasticity of substitution. The three-way separation allows the model to further … account for the variance premium puzzle, besides the puzzles of the equity premium, the risk-free rate, and the return … predictability. Specifically, the model matches reasonably well key asset pricing moments with risk aversion under 5. By calibration …

risks significantly contribute to the variation of yields and risk premiums for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in aggregate demand variance significantly lowers risk premiums. Macro risks also …

funds futures data. The uncertainty is highest when it signals a loosening cycle. The uncertainty raises the risk premium in …

estimate "macro risk factors" that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and … significantly contribute to the variation yields, risk premiums and return variances for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in demand variance lowers risk premiums …

generalized LRR model is as tractable but more flexible due to its separation of ambiguity aversion from both risk aversion and … variance premium puzzle besides the puzzles of the equity premium, the risk-free rate, and the return predictability …. Specifically, the model matches reasonably well key asset-pricing moments with risk aversion under 5. Model calibration shows that …

demand shocks. We estimate macro risk factors that drive "bad" (negatively skewed) and "good" (positively skewed) variation … for supply and demand shocks. We document that macro risks significantly contribute to the variation of yields, risk … premiums and return variances for nominal bonds. While overall bond risk premiums are counter-cyclical, an increase in …

negative skewness risk. Additionally, factor risks that affect foreign money changes, foreign inflation changes, as well as … changes to a newly developed Carry Trade Activity Index and the VIX index, as a proxy for global risk aversion, make up the … carry trade risk anatomy. These findings are not exclusively important for carry traders, but also contribute to the …

, economic uncertainty, and risk premia influence firms' financing and default policies. Countercyclical fluctuations in risk …. These comovements generate large credit risk premia for investment grade firms, which helps address the "credit spread …

than out-of-the-money calls, suggesting a large crash risk of those currencies. To evaluate crash risk precisely, we …, forward, and option data, we obtain a real-time index of the compensation for global disaster risk exposure. We find that … disaster risk accounts for more than a third of the carry trade risk premium in advanced countries over the period examined …