In a standard incomplete markets model with a continuum of households that have constant relative risk aversion (CRRA …) preferences, the absence of insurance markets for idiosyncratic labor income risk has no effect on the premium for aggregate risk … if the distribution of idiosyncratic risk is independent of aggregate shocks and aggregate consumption growth is …

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 …

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 …

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 …

This article provides a stochastic valuation framework for bond and stock returns that builds on three different … model similar to Campbell and Shiller (1988b), and a model with stochastic risk aversion similar to Campbell and Cochrane …

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 …