way to come up with a measure of time-varying disaster risk in the spirit of Wachter (2013). Our findings imply that both … the disaster and the long-run risk paradigm can be extended towards explaining movements in the stock-bond return …

term structure model to decompose bond excess returns into expected excess returns (risk premia) and the unexpected part …. In order to explore these risk premia and innovations, we complement macro variables by financial condition variables as …

risk. Given that the top market makers in foreign exchange are at the heart of the market's information aggregation process …

shocks, and show how the underlying economic structure affects the risk-adjusted discount rate and the climate risk premium … transition. The time path of the climate risk premium is hump-shaped, with the climate beta playing a dominant role in its … can temporarily reduce aggregate consumption risk, as the climate beta becomes negative in the mid phase of the transition …

-variations in the relationship between systematic risk factors and corporate bond spreads. First, we apply Bayesian model averaging … to a battery of candidate variables for determining meaningful systematic risk factors. Second, Markov switching … market conditions, on the other. Our evidence for market indices of euro-denominated bonds suggests that systematic risk …

in continuous time that can cope with such a non-flat forward curve of risk prices. The approach departs from an …