the firm's exposure to IST shocks and risk premia. Our calibrated model replicates: i) the predictability of returns by … returns by aggregate investment and valuation ratios; and v) a downward sloping term structure of risk premia for dividend …

refer to this measure of volatility as 'risk'. We find that fluctuations in risk are the most important shock driving the …

classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital risk factor … is strongly pro-cyclical, implying counter-cyclical intermediary leverage. The price of risk for intermediary capital …

shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business … risk of disaster does not affect the path of macroeconomic aggregates - a "separation theorem" between macroeconomic … variation in risk premia over time, are observationally equivalent to preference shocks. An increase in the perceived …

featuring consumption externalities, recursive utility, and jump risk …