This paper develops a rule for calculating a discount rate to value risky projects. The rule assumes that asset risk …

adjusting for risk. The traditional actuarial approach - the approach currently used by the Social Security Administration in … generating its most widely cited numbers - ignores risk and instead simply discounts "expected" future flows back to the present … using a risk-free rate. If benefits are risky and this risk is priced by the market, then actuarial estimates will differ …

This paper proposes a dynamic risk-based model that captures the high expected returns on value stocks relative to …, but that shocks to the time-varying price of risk are not. As long-horizon equity, growth stocks covary more with this … time-varying price of risk than value stocks, which covary more with shocks to cash flows. When the model is calibrated to …

"This paper studies empirically the relationship between trade policy and individual income risk faced by workers, and … three steps. First, longitudinal data on workers are used to estimate time-varying individual income risk parameters in … various manufacturing sectors. Second, the estimated income risk parameters and data on trade barriers are used to analyze the …

Uncertainty is a ubiquitous concern emphasized by policymakers. We study how uncertainty affects decision-making by the … Federal Open Market Committee (FOMC). We distinguish between the notion of Fed-managed uncertainty vis-a-vis uncertainty that …-managed uncertainty introduces a wedge between the standard Taylor-type policy rule and the optimal decision. Using private Fed …

In this paper we study the neoclassical growth model with idiosyncratic income risk and aggregate risk in which risk … pay off depending on both idiosyncratic and aggregate risk, but limited commitment rules out that households sell these … conditions under which it has lower/higher risk premia than the corresponding representative agent version of the model …

We characterize how firms structure supply chains under climate risk. Using new data on the universe of firm …-to-firm transactions from an Indian state, we show that firms diversify sourcing locations, and suppliers exposed to climate risk charge … sourcing under climate risk. Firms diversify identical inputs from suppliers across space, trading off the probability of a …

In the face of rising climate risk, financial institutions may adapt by transferring such risk to securitizers that … to climate risk may be a drop in the ocean of cash flows. This paper builds a data set of the entire securitization chain … optimal deals by finding the portfolio weights in an asset demand system that targets return and risk. Extrapolating wildfire …

heterogeneous attitudes towards crash risk. The less crash-averse insure the more crash-averse through the options markets that … literature: the tendency of stock index options to overpredict volatility and jump risk, the Jackwerth (2000) implicit pricing …