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 …

for expected and unexpected inflation shocks embedded in sovereign bond yields; and provides estimates of the real risk … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected inflation … namely saving on the embedded inflation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium …

of global and domestic risk factors to the time variation of sovereign credit spreads. Using a geographically dispersed … panel of 44 countries, I show that the relative importance of global and country-specific risk in explaining sovereign … credit risk varies with the sign of the slope of the term structure and the duration of its inversion. A model rationalizes …

I extend the evidence on the basic stylized facts documented for the U.S. variance risk premium (VP) and show that …

are highly integrated with key suppliers of tradeable financial assets. Currency risk premia decrease as network … centrality increases. Asset pricing tests confirm that the centrality risk factor is priced in the cross-section. Further …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

is driven primarily by idiosyncratic country risk. We analyze several local and regional channels that may explain the … trading in sovereign CDS: (a) country-specific credit risk shocks, including changes in a country's credit rating and related …