The equity variance risk premium is the expected compensation earned for selling variance risk in equity markets. The … variance risk premium is positive and shows moderate persistence. High variance risk premiums coincide with the left tail of …-based asset pricing models. We introduce a tractable habit model that does fit the data. In the model, the variance risk premium …

This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and … credit derivative spreads of Japanese banks. Although the Japan premium in the euro-dollar market seemed to have virtually … indicators were high both in the first period and in the second period; Credit default swap (CDS) premium explains Japan premium …

currencies of advanced economies and emerging markets, using survey data on expected exchange rate. First, the UIP premium co … comovement between the UIP premium and capital inflows. Second, the comovement of the UIP premium and the VIX is explained by …. Third, country risk measured by the degree of policy uncertainty can explain both the negative comovement of the UIP premium …

model of the risk premium. Increases in expected rates of depreciation of the dollar relative to five foreign currencies are …

, the Bank of Japan and the ECB is as important as Fed policy in forecasting currency returns against the dollar. In the …

intuitive and significant co-movement between currency risk premium and risk premia in yield curve factors that drive bond …