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 …

Cuncertainty%u201D) and changes in risk aversion (%u201Crisk%u201D for short) in the determination of the term structure, equity … prices and risk premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an … and many salient asset market phenomena. While the variation in dividend yields and the equity risk premium is primarily …

We study the role of information in asset pricing models with long-run cash flow risk. When investors can distinguish … short- from long-run consumption risks (full information), the model generates a sizable equity risk premium only if the … propose a sparsity-based bounded rationality model of long-run risk that is both parsimonious and fully identified from …

-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 …

structure of equity dividend risk premia. In the data, a robust finding is that the term structure of dividend risk premia … and expansion regimes. The unconditional population term structure of dividend-risk premia in the regime-switching model … also features a declining average term structure of dividend risk-premia if recessions are over-represented in a short …

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