We examine asset prices in a representative-agent model of general equilibrium. Assuming only that individuals are risk … averse, we determine conditions on the changes in asset risk that are both necessary and sufficient for the asset price to … incomplete in the sense of containing an uninsurable background risk, such as a risk on labor income. We extend our model to show …

-agents model with two main ingredients: i) rare disasters; ii) heterogeneous beliefs. The model captures time-varying risk premia …

information. Respondents who learn of a higher personal exposure to unemployment risk during recessions increase their demand for … rational inattention that demand for information depends on its expected benefit. Moreover, the fact that perceived risk …

price, the equilibrium risk-free rate, and risk premia. Climate disasters, which are more likely to occur sooner as … temperature rises, significantly increase risk premia. …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by … econometric framework for estimation of affine Gaussian DTSMs under restrictions on risk prices, which addresses the issues of a … the US Treasury yield curve. The data strongly favor tight restrictions on risk pricing: only level risk is priced, and …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

We develop a financial-economic model for carbon pricing with an explicit representation of decision making under risk … specifications. We show that risk associated with high damages in the long term leads to stringent mitigation of carbon dioxide … emissions in the near term. Our results provide insight into how a systematic incorporation of climate-related risk influences …