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

is--compared with the standard default-risk indicators--a considerably more powerful predictor of economic activity … the notion that a rise in the excess bond premium represents a reduction in the effective risk-bearing capacity of the …

We present a novel empirical benchmark for analyzing credit risk using “pseudo firms” that purchase traded assets … economic growth. Using this framework, we find that bond market illiquidity, investors' over-estimation of default risks, and … corporate frictions do not seem to explain excessive observed credit spreads, but, instead, a risk premium for tail and …

dynamics and time-varying risk premia on bonds and stocks. Consumers' first-order condition for the real risk-free interest … risks, but only when risk premia change endogenously as predicted by the model …

key stylized facts. In our model, the impact on real activity comes from the spike in risk premiums, rather than …