A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different … measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk …

derive a general analytic formula for the "risk premium" governing the resulting climate policy. The formula generalizes … making under uncertainty. It clarifies the distinct roles of risk aversion, prudence, characteristics of the damage … formulation, and future policy response. We show that an optimal response to uncertainty substantially reduces the risk premium. …

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 …

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 …

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. …

ante risk assessment and derive risk premia for every balance sheet item where liabilities are differentiated according to … priority rights. We find that risk premia reflect both idiosyncratic risk and risk of contagion (network risk). Moreover, we … show that network risk magnifies the gap between the risk premia of equity and debt. We also perform comparative statics …

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

idiosyncratic risk implied by the benchmark process is between two-to-four times higher than the canonical Gaussian one. Third, the … transitory income (e.g., from a stimulus check) is higher under non-Gaussian earnings risk. …

In this paper, we construct alternative theoretical models for exchange rates by introducing additional risk factors … macroeconomic sources of FOREX risk may be a missing factor in the exchange rate study. …