, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply …

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 …

(RLMS) support our theory. Workers who receive in-kind payments are less probable to move than workers who do receive their …

exchange economy with multiple agents who differ in their degree of risk aversion and face borrowing constraints. We … volatility of stock returns increases with the cross-sectional dispersion of risk aversion, with the cross-sectional dispersion … constraint lowers the risk-free interest rate and raises the equity premium in equilibrium. …

This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to …, but that shocks to the time-varying price of risk are not. As long-horizon equity, growth stocks co-vary more with this … time-varying price of risk than value stocks, which co-vary more with shocks to cash flows. When the model is calibrated to …