risk of firm default …

, in which sovereign risk is limited through diversification and some form of seniority. These assets would be held by …

, since retrading allows partial insurance of idiosyncratic risk in an incomplete markets setting. This lowers the issuers … idiosyncratic risk rises during recessions, so does the value of the service flows bestowing the safe asset with a negative ß. This …

We develop an asset-pricing model with endogenous corporate policies that explains how inflation jointly impacts real … asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal … when inflation falls. An increase in inflation has opposite effects, but with smaller magnitudes. In the cross section, the …

endogenous aggregate risk. This risk induces an endogenous regime-switching process for output, the risk-free rate, excess …

of savings, precautionary savings, loss aversion, and risk. We provide the relevant theory, followed by empirical tests …