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 …

the prices of aggregate risk from bond yields and stock returns using a no-arbitrage model. Using these risk prices, we …

Sovereign risk premia in several euro area countries have risen markedly since 2008, driving up credit spreads in the … private sector as well. We propose a New Keynesian model of a two-region monetary union that accounts for this "sovereign risk … channel." The model is calibrated to the euro area as of mid-2012. We show that a combination of sovereign risk in one region …

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 …

This Paper is an exploration into the links between macroeconomics and finance as they affect the FOREX risk premium …. SDF theory is used in which the factors are observable macroeconomic variables. Three SDF theories are compared: a … rate. The theory takes account of both domestic and foreign investors. The joint distribution of the excess return to FOREX …

-linked bonds. Projections of share price uncertainty over a 30-year period show that the risk associated with such a long …