Benchmark finance and macroeconomic models appear to deliver conflicting estimates of the natural rate and bond risk …* and π*, and not bond risk premia. Global components of unexpected bond returns are influential, while the local components …

We exploit regional variations in exposure to heat stress to study if physical climate risk is priced in municipal and … little effect for investment grade bond spreads, and with conditional expected returns on stocks that are higher by around 45 …

We study aggregate lapsation risk in the life insurance sector. Using the regulatory reporting of historical lapse … risk factors that explain a large fraction of the common variation in lapse rates of the 30 largest life insurance … examine the heterogeneity in risk factor exposures based on policy and policyholder characteristics. Young policyholders with …

We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal … different, the risk dynamics share remarkably common features: PC1 shocks come solely from asset volatility, while PC2 shocks …, we provide novel identification of risk dynamics by linking these changes to news about the virus and epidemiological …