dynamics and time-varying risk premia on bonds and stocks. Consumers' first-order condition for the real risk-free interest … changed from positive to negative. A change in the comovement between inflation and the output gap explains changing bond … risks, but only when risk premia change endogenously as predicted by the model …

puzzling from the perspective of simple structural macroeconomic models. We explore whether richer models of risk premiums … historical bond data …

produce similar estimates of bond option values. This result is established for simple option forms with known closed …

We explore a variety of models and approaches to bond pricing, including those associated with Vasicek, Cox … calculus of high theory and the binomial models of classroom fame. In this setting, most of the models we examine are easily …

Workhorse Gaussian affine term structure models (ATSMs) attribute time-varying bond risk premia entirely to changing … time variation in bond term premia is predominantly driven by the price of risk, especially, the price of expected … prices of risk, while structural models with recursive preferences credit it completely to stochastic volatility. We …

will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond …. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of … issues from low-risk-aversion to high-risk-aversion agents. The model assumes Epstein-Zin/Weil preferences with common values …

We present a dynamic general equilibrium model with agency costs where: i) firms are heterogeneous in the risk of … corporate credit risk relative to the US, and when european firms value more than US firms the flexibility and information …

Asset pricing models such as the conditional CAPM are typically estimated with MLE using a monthly or quarterly horizon … conditional CAPM. Our approach recognizes that the first order conditions of MLE can be used as orthogonality conditions of GMM …