How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we … propose a simple structural model that includes both Gaussian and disaster risk premia and can be estimated even in samples … risk premia account for about 25% of expected carry trade excess returns in advanced countries. …

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 …