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

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

targeted M1 instead. (These estimates assume a coefficient of relative risk aversion between 2.5 and 3.5.) Nominal income …

We argue that emerging economies borrow short term due to the high risk premium charged by bondholders on long …-term debt. First, we present a model where the debt maturity structure is the outcome of a risk sharing problem between the … risk to bondholders. In equilibrium, this risk is reflected in a higher risk premium and borrowing cost. Therefore, the …

In models with a large number of agents who have constant relative risk aversion (CRRA) preferences, the absence of … insurance markets for idiosyncratic labour income risk has no effect on the premium for aggregate risk if the distribution of … idiosyncratic risk is independent of aggregate shocks. In spite of the missing markets, a representative agent who consumes …

risk premium adjusted uncovered interest parity condition. In our view sustained violations of this constraint provide an …

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 …