We extend the canonical income process with persistent and transitory risk to shock distributions with left …-skewness and excess kurtosis, to which we refer as higher-order risk. We estimate our extended income process by GMM for household … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …

that such disturbances are important drivers of output fluctuations in both economies, we find the shock responses of …

sensitive to scarcity and more volatile at high levels of reuse, highlighting the trade-off between the shock absorption and … shock amplification effects of collateral reuse. …

term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part …Bond excess returns can be predicted by macro factors, however, large parts remain still unexplained. We apply a novel …. In order to explore these risk premia and innovations, we complement macro variables by financial condition variables as …