In this paper, we construct alternative theoretical models for exchange rates by introducing additional risk factors …, based on the volatility of macroeconomic fundamentals. The modified flexible-price monetary model is used to characterize … macroeconomic sources of FOREX risk may be a missing factor in the exchange rate study. …

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 …

This paper examines novel survey evidence on firms’ beliefs about macroeconomic tail risk and their role in investment … quantitative heterogeneous firm model calibrated to match the survey evidence, firms' concern with tail risk makes fiscal policy …

output volatility, particularly when interacting with de facto flexible exchange rate regimes. This stabilizing effect is …

We examine the asymmetric impact of shocks to macroeconomic expectations and their underlying dispersion on equity risk … for the price of risk. We also document that the survey expectations-augmented specification reduces pricing and premium …