puzzling from the perspective of simple structural macroeconomic models. We explore whether richer models of risk premiums … historical bond data …

We explore a variety of models and approaches to bond pricing, including those associated with Vasicek, Cox … calculus of high theory and the binomial models of classroom fame. In this setting, most of the models we examine are easily …

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected … prices of risk, while structural models with recursive preferences credit it completely to stochastic volatility. We …

will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond …. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of … issues from low-risk-aversion to high-risk-aversion agents. The model assumes Epstein-Zin/Weil preferences with common values …

that the fraction of unpriced risk in these assets is at least 85%. Extant explanations of carry strategies based on …

overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this "sentiment risk." …

The risk factors in many consumption-based asset pricing models display statistically weak correlation with the returns … factors (SDFs) when they are misspecified and the covariance matrix of the asset returns with the risk factors has less than … with SDFs specified in terms of demeaned risk factors improves the performance of GMM but the power to reject misspecified …

account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …

idiosyncratic income risk. These agents can trade a complete menu of contingent claims, but they cannot commit and shares in a Lucas … risk factor, in addition to aggregate consumption growth risk. This liquidity risk is created by binding solvency … constraints. The adjustment to the Breeden-Lucas stochastic discount factor induces substantial time variation in equity risk …