sovereign safe assets and German government bonds adjusted for sovereign credit risk, liquidity and swap market frictions. A …, which is more pronounced for higher maturities and when risk aversion proxied by bond market volatility is high. Going …

explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly … in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently … Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper …

(relative to the variability of the forward bias), and predictable. Estimation of structural models of the risk premium suggests …This paper challenges the conventional view that foreign exchange risk premiums are small, not volatile, and unrelated … to macroeconomic variables. For the Italian lira (1987-94), unconditional risk premiums—constructed using survey data to …

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for …

forecasting horizon, both in- and out-of-sample. Finally, a regime-switching estimation shows that the systematic risk component …This paper finds that the yield spread of investment-grade bonds relative to Treasuries, a proxy of default risk … for a commonly used predictor such as the commercial paper spread. The paper also finds that systematic risk factors …

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities …. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount … literature. We provide evidence that non-linearities arise from hedging strategies of investors exposed to interest rate risk …