-varying) non-Gaussian features of the structural shocks to estimate "macro risk factors" for supply and demand shocks that drive … the good demand variance risk factor. In contrast, the risk factors driving bad variance for both supply and demand shocks … the variation in yields, bond risk premiums and the term premium. While overall bond risk premiums are counter …

This paper proposes a dynamic risk-based model capable of jointly explaining the term structure of interest rates …, returns on the aggregate market and the risk and return characteristics of value and growth stocks. Both the term structure of … are priced, but shocks to the price of risk are not. Given reasonable assumptions for dividends and inflation, we show …

rates, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist over long periods of time. In …, and we explore its implications for asset allocation. Changes in investment opportunities can alter the risk …-return tradeoff of bonds, stocks, and cash across investment horizons, thus creating a ``term structure of the risk-return tradeoff …

of banks argue that compensation for bearing systematic risk is not part of bank output. We apply these models and find …

This paper documents that carry traders are subject to crash risk: i.e. exchange rate movements between high … carry trades, which tend to occur in periods in which risk appetite and funding liquidity decrease. Funding liquidity …-trade losses reduce future crash risk, but increase the price of crash risk. We also document excess co-movement among currencies …

We introduce a new, market-based and forward looking measure of political risk derived from the yield spread between a … factors: global economic conditions, country-specific economic factors, liquidity of the country's bond, and political risk …. We then extract the part of the sovereign spread that is due to political risk, making use of political risk ratings. In …

This paper develops two models, one involving risk neutrality and the other risk aversion, which suggest that inflation … evidence supports the hypothesis that inflation uncertainty affects interest rates. Interpreted in terms of the risk neutral … positive impact on the expected real rate. If the results are interpreted in terms of the risk averse model, inflation …

monetary base and the price level at these times differed from the post-World War I1 experience in ways predicted by the theory …