the absence of distortionary taxes and induces efficient intergenerational risksharing. If agents are more risk …

of interest rates. We use a model of risk-averse arbitrageurs to develop measures of how the maturity structure of debt … held by the public might affect the pricing of level, slope and curvature term-structure risk. We find these Treasury …

to obtain a term structure of expected dividend growth rates and a term structure of risk premia, which allows us to … decompose the equity risk premium by maturity. We find that both expected dividend growth rates and risk premia exhibit …

Value stocks have higher exposure to innovations in the nominal bond risk premium, which measures the markets …' perception of cyclical variation in future output growth, than growth stocks. The ICAPM then predicts a value risk premium … when nominal bond risk premia are low and declining, are associated with lower future dividend growth rates on value minus …

exhibits a surprising amount of time variation. A simple utility framework of mortgage choice points to the bond risk premium … as theoretical determinant: when the bond risk premium is high, FRM payments are high, making ARMs more attractive. We … bond risk premium. This is true regardless of whether bond risk premia are measured using forecasters' data, a VAR term …