macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

LOLRfunding for banks as a quasi-natural experiment. Using micro-level data on banks, firms and loans in Portugal, we generate …

changes in global risk (VIX). We find that inertia (whether the bond behaved as a safe asset in the past) and good … on whether the change in global risk is driven by financial shocks rather than by US monetary policy. …

-Bernanke period only. Focusing on this period, the "risk-management" approach is found to be responsible for monetary policy easings …

We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …

, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …