political uncertainty commands a risk premium whose magnitude is larger in poorer economic conditions. Political uncertainty …

This paper proposes a panel data approach to modeling the risk premium in the term structure of interest rates … allows us to disentangle risk premia and unexpected excess returns, which is not possible in the standard time series … full data panel of U.S. Treasury securities. Second, a considerable degree of mean reversion is present in the risk premia …

creates risk premia against the possibility that the exchange rate parity cannot be maintained, and against the possibility … currency issue. We find the growth and investment benefits of removing the risk premia outweigh any optimal currency area …

: we estimate risk premia on various financial instruments and on the exchange rate, and we show that they all move in …

The risk premium in the US stock market has fallen far below its historic level, which Shiller (2000) attributes to a … bubble driven by psychological factors. As an alternative explanation, we point out that the observed risk premium may be … that they are insured against downside risk. By allowing for partial credibility and state dependent risk aversion, we show …

introducing costs of adjusting the stock of capital, corporate debt and risk-sharing labour contracts. We find the latter to be …

has proved difficult in practice, because the presence of a timevarying risk premium often renders the futures price a … be recovered by adjusting the futures price by the estimated risk premium, a common problem in applied work is that there … are as many measures of market expectations as there are estimates of the risk premium. We propose a general solution to …

simple theory of asset pricing in which demand shocks play a central role. These shocks give rise to valuation risk that …

fiscal policy. Using a variant of the model by Curdia and Woodford (2009), we study a 'sovereign risk channel' through which … sovereign default risk raises funding costs in the private sector. If monetary policy is constrained, the sovereign risk channel …, sovereign risk amplifies the effects of negative cyclical shocks. Under those conditions, fiscal retrenchment can help curtail …