This paper examines the macroeconomic implications of sovereign credit risk in a business cycle model where banks are … generates a precautionary motive for banks to deleverage (risk channel). I estimate the model using Italian data, finding that i …) sovereign credit risk was recessionary and that ii) the risk channel was sizable. I then use the model to evaluate the effects …

We use a model of optimal portfolio choice to measure heterogeneity in risk aversion among households in Thai villages …. There is substantial heterogeneity in risk preferences, positively correlated in most villages with alternative estimates … based on a full risk-sharing model. …

This paper studies the nature of business cycle variation in individual earnings risk using a confidential dataset from … cyclical nature of earnings risk is dramatically different for the top 1 percent compared with all other individuals …

The distinguishing feature of natural-catastrophe risk is claimed to be aggregate risk. Because such risk is … damage. In the context of a model with aggregate risk and endogenous total damage, a notion of competitive markets contingent … on total damage is formulated. That notion implies that such markets achieve the same (efficient) risk sharing as markets …

Banks have historically provided mutual insurance against asset risk, where the insurance arrangement itself was … characterized by limited enforcement. This paper shows that a non-trivial interaction between asset and liquidity risk plays a …

Concerns about constructing and maintaining good reputations are known to reduce borrowers' excessive risk …

, financial institutions fail to internalize risks their investments impose on society, thereby creating a “risk externality ….” This paper proposes that just as taxes are imposed to deal with pollution externalities, taxes can also address risk … externalities. ; The size of the optimal tax depends on risk-related attributes and may be difficult for supervisors to calculate …

irreversible investment model for consumer durables is estimated on U.S. It is found that a shift to higher risk leads to a …