stochastic risk aversion. In this model, analytic solutions for endogenous stock and bond prices and returns are readily … long-term bond risk premia as well as salient features of the nominal short rate, the dividend yield, and the term spread …

consumption prices has different effects on the risk premium. A change in consumption prices that confirms investors' beliefs … reduces stock risk premia, while a change that contradicts them increases risk premia. This may generate a negative …

between risk and uncertainty is implemented by applying the Gilboa-Schmeidler maxmin with multiple priors framework to lenders …

finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on … risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common …

to these scenarios affect the upside and downside risks embodied in the baseline real-time oil price forecast. Such risk …

assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium … model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit … spread can be attributed largely to the risk of default and how excess loan creation may emerge due different attitudes to …

The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging … within types of economies, with Europe being more adversely affected by the fall in risk appetite than other advanced …

The paper studies risk mitigation associated with capital regulation, in a context where banks may choose tail risk … assets. We show that this undermines the traditional result that higher capital reduces excess risk-taking driven by limited … liability. Moreover, higher capital may have an unintended e¤ect of enabling banks to take more tail risk without the fear of …

The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The …