sets of results. First, we calculate lower bounds on the minimax risk for estimating the regression function at (i) a point … achieves the optimal rates suggested by our risk bounds when an appropriate bandwidth sequence is chosen. This optimal rate …

In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …

was 1-3 degrees Fahrenheit. In addition, people with higher risk estimates, whether for temperature or related risks (e …, significant behavioral propensities also emerged. For example, accessibility of neutral information on global warming boosted risk …

usual relationship between risk and consumption. In particular, we present a model where the presence of plausible … adjustment costs can cause a mean-preserving increase in unemployment risk to lead to increased consumption. The predictions of … risk as their unemployment shocks are more highly correlated. Such couples spend more on owner-occupied housing than other …

risk and return in the stock market. This finding is robust in subsamples, to asymmetric specifications of the variance …

Many people assume that the most significant risk in the housing market is that homeowners are exposed to fluctuations … finds that, even though house price risk endogenously increases with rent risk, the latter empirically dominates for most … households so housing market risk actually increases homeownership rates and house prices. Further, the net effect of rent risk …

frictions that allows us to distinguish between different sources of risk and to estimate their effects. The sources of risk are … variability due to shocks from variability due to the responses to these shocks. Estimates of productivity risk, once we control … for employment risk and for individual labour supply choices, are substantially lower than estimates that attribute all …

an additional hedging motif driven by the interaction between real exchange rate risk and ambiguity aversion. What … matters is the long-run as opposed to the short-run risk. Domestic equity is a good hedge with respect to long-run real … exchange rate risk even when bonds are traded. The higher is the degree of ambiguity aversion, the stronger is the home bias …

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 …

. In the process we integrate a Conditional Value at Risk (CVaR) restriction on overall plan costs into the pension manager …