We study general equilibrium asset prices in a multi-period endowment economy when agents’ risk aversion is allowed to … depend on the maturity of the risk. We find horizon-dependent risk aversion preferences generate a decreasing term structure … of risk premia if and only if volatility is stochastic. Our model can thus justify the recent empirical results on the …

This paper examines how risk in trading activity can affect the volatility of asset prices. We look for this … swap spread tends to converge to a long-run level, although trading risk can sometimes cause the spread to diverge from … that level. -- convergence trading ; interest rate swaps ; swap spread ; repurchase contracts ; trading risk ; volatility …

incomplete markets. In particular, earnings shocks display strong negative skewness and extremely high kurtosis—as high as 30 …

stochastic general equilibrium model in which liquidity and capital regulations interact with the supply of risk-free assets. In … cycle, influencing the pricing of risk and the level of risk in the economy. Our analysis focuses on liquidity policies … addition, we find that intermediate ranges of risk-free asset supply achieve higher welfare. …