Understanding the nature of credit risk has important implications for financial stability. Since authorities notably … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …

Expected returns vary when investors face time-varying investment opportunities. Longrun risk models (Bansal and Yaron … 2004) and no-arbitrage affine models (Duffie, Pan, and Singleton 2000) emphasize sources of risk that are not observable to … the econometrician. We show that, for both classes of models, the term structure of risk implicit in option prices can …

monetary policy rule and risk premium. I study the information content of key policy announcements in the period from the end …

Understanding the nature of credit risk has important implications for financial stability. Since authorities … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …

fit for both the historical and the risk-neutral distribution of returns, compared to existing affine generalized …

risk to obtain plausible decompositions of forward curves. The forecasts of interest rates and exchange rates from the … international term and foreign exchange risk premia as well as expected exchange rate changes. …