interest rate environment. Higher risk increases the demand for safe assets, lowering the natural rate of interest below zero …

maturity races, information sensitivity, risk-intolerant debt and induced runs reinforce the liquidity risk externality …

changes in global risk (VIX). We find that inertia (whether the bond behaved as a safe asset in the past) and good … on whether the change in global risk is driven by financial shocks rather than by US monetary policy. …

We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk … our measure is associated with increasing option expensiveness, higher risk premia for a wide range of financial assets …

We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk … with increasing option expensiveness, higher risk premia for a wide range of financial assets, deterioration in funding …

We propose a new measure of financial intermediary constraints based on how the intermediaries manage their tail risk … with increasing option expensiveness, higher risk premia for a wide range of financial assets, deterioration in funding …

macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

interest rate environment. Higher risk increases the demand for safe assets, lowering the natural rate of interest below zero …