from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My … Bayesian analysis demonstrates that in some aspects advanced countries are more exposed to disaster risk, while in others their … persistent. Advanced countries are also more likely to experience a global disaster, whereas disasters in emerging countries tend …

price, the equilibrium risk-free rate, and risk premia. Climate disasters, which are more likely to occur sooner as … temperature rises, significantly increase risk premia. …

We study the relation between US inflation and the performance of global asset classes (including bonds, stocks … recent 30 years (1991–2020). We find that most assets had positive average real returns in both low- and high-inflation years …. While average real returns were lower in years with higher inflation for most assets, many of the differences are not …

Existing research discards domestic equities as inflation hedge, yet, to the best of my knowledge, overlooks … international equities. I show that international equities hedge against inflation level and inflation changes more effectively than … domestic equities. The protection is stronger for country-specific inflation shocks and for weak domestic currencies …

reflection of a low real risk-free rate, low inflation expectations and a low cost for hedging inflation risks. We have not … associate those episodes with either low real risk-free rates, or with low costs for hedging inflation risks …We revisit the concept of the cost of hedging inflation risks put forward in Bodie (1976). When doing so, we employ a …

Recent research (see Moreira and Muir, 2017) suggests that volatility-managed portfolios take less risk when volatility … extend this literature by investigating the profitability of volatility-managing the Fama and French (2017) local risk … factors in international equity markets. Our general findings indicate that volatility-managing adds value for local risk …

, 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 …. The measure of disaster risk that we uncover in currencies proves to be an important factor in the cross-sectional and …

The risk reducing benefits of the sovereign bond-backed security (SBBS) proposal of Brunnermeier et al (2011, 2016 … ante tail risk and that, like the lowest-risk single-named sovereigns, it acts as a hedge against extreme adverse movements … in the yields on more junior tranches. The mezzanine SBBS has tail risk exposure similar to that of Italian and Spanish …

, which are disproportionately affected by climate change, raises significant concerns. This study shows that sovereign risk …. Countries with elevated risk levels are disproportionately vulnerable to climate change compared to their lower-risk … vulnerability to climate change, in terms of sovereign risk, particularly for countries with low spreads and long-term debt …

requires a coefficient of relative risk aversion, γ, around 6. Most of the explanation for the equity premium derives from RE …