notion of a certainty equivalent beta. We show that its term structure is not constant and that, for short maturities, it … equals the expected beta. If the expected beta is larger than a threshold (which is negative and large in absolute value in … all realistic calibrations), the term structure of the certainty equivalent beta is increasing and tends to its largest …

risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain … increasing term structure for the risk premium. It also implies that, under the assumption that the cummulants of the … distribution of growth are statistically independent, the discount rate is increasing with maturity if and only if the beta of the …

has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the … the futures price by the estimated risk premium, a common problem is that there are as many measures of the market … expectation as there are estimates of the risk premium. We propose a general solution to this problem that allows us to select the …

point to relevant empirical evidence in support of our theory …

unspanned macro risk …

asymmetric risk premia over the business cycle. These (empirical) key features become relevant, and asset market implications …-form expressions for the risk premium in production economies. In contrast to endowment economies, the curvature of the policy … functions affects the risk premium through controlling the individual's effective risk aversion …

In this paper we analyse debt stabilization in a monetary union that features endogenous risk premia. In particular, we …”, financial markets impose sovereign risk premia based on each country's government debt level. In the second regime, the … “eurobonds Regime”, financial markets impose a risk premium based on the average debt level in the monetary union. We compare …

Macro-finance theory implies that trend ination and the equilibrium real interest rate are fundamental determinants of …