. Without denying the possibility of other factors, we find that risk premium shocks are key to building quantitative models … where the zero bound is relevant for monetary policy design. The risk premium mechanism operates by increasing the spread … between the rates of return on private capital and risk-free government bonds. Other common shocks, such as aggregate …

share a common component with risk premia in other markets. This observation leads to the following identification strategy … arbitrage-free term structure model. As predicted, we find that funding liquidity explains the cross-section of risk premia. An … increase in the value of liquidity predicts lower risk premia for on-the-run and off-the-run bonds but higher risk premia on …

Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a … Clearing, Eurex Clearing and LCH.Clearnet - are considered in terms of risk management, CCP links, governance and operational … risk. …