increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications …-form expressions for the risk premium in production economies. In contrast to endowment economies, the curvature of the policy … functions affects the risk premium through controlling the individual’s effective risk aversion. …

In this paper, we construct alternative theoretical models for exchange rates by introducing additional risk factors … macroeconomic sources of FOREX risk may be a missing factor in the exchange rate study. …

typically shares in the latter gains via the collection of tax revenues. Hence to the extent the risk discount rate should … reflect the co-variability between the return from public investment and that of the market, we are led to measuring the risk …, 1950-2000, and show that the social risk premium is relatively small vis-à-vis the market. Consequently, the use of the …

This paper proposes a theoretical model that incorporates corporate governance into the basic CAPM, where corporate …

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis …

Banks play a critical role in international trade by providing trade finance products that reduce the risk of exporting …