loading on the expected real GDP growth rate is a priced risk measure. A fully tradable, ex-ante portfolio formed on this …

prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated … effects. Instead, the evidence points to a direct effect on investors' risk-taking capacity. Our findings show that a …

We examine asset prices in environments where the risk-free rate lies considerably below the growth rate. To do so, we … aggregate risk. We show that allowing for the possibility of firms exiting is crucial for matching key macroeconomic moments and …, simultaneously, the risk-free rate, the market price of risk, and price-earnings ratios. In particular, our model allows us to …

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 …