explaining the time variation in integration, while 'unexplained' changes in the overall level of country risk are also …

We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial … market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various …

I analyze welfare properties of mutual funds in the Diamond-Dybvig model with two sources of aggregate risk …: undiversifiable interest rate risk and shocks to aggregate liquidity demand. Mutual funds are inefficient when the economy faces … undiversifiable interest rate risk. However, if only aggregate liquidity demand is stochastic, mutual funds can implement the social …

Financial risk management is difficult at the best of times, but especially so in the presence of economic uncertainty … and financial crises. The purpose of this special issue on "Advances in Financial Risk Management and Economic Policy … methods have contributed significantly to the analysis of financial risk management when there is economic uncertainty …

This paper examines the pricing of public debt in a quantitative macroeconomic model with government default risk …. We analyze the conditions under which expected default risk premia can quantitatively rationalize sizeable spreads on … public bonds. Sovereign default risk premia turn out to emerge at either very high debt to output ratios, or if the variance …