show that transition to risk-free reference rates may exacerbate this friction. The adverse impact on credit supply is …

categories of bond market investors, consistently support an autoregressive expectations model. The results also have …

important lenders' portfolio behavior can be in bringing about the adjustment of interest rates which Fisher's theory associates … with expected inflation. Given the importance of this adjustment for questions of both monetary theory and monetary policy …

context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is …Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical … VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the …

(BHC) assets across U.S. metropolitan statistical areas (MSAs) on BHC risk. We find that the geographic expansion of bank … assets reduces risk. Moreover, geographic expansion reduces risk more when BHCs expand into economically dissimilar MSAs, i … quality. Our results are consistent with arguments that geographic expansion lowers risk by reducing exposure to idiosyncratic …

. We formulate a model of credit supply as the flip side of a credit risk model where a large stock of non-core liabilities … serves as an indicator of the erosion of risk premiums and hence of vulnerability to a crisis. We find supporting empirical …

these conceptual inputs are already available from established portfolio theory, and others represent objects of current or …

positive impact on the expected real rate. If the results are interpreted in terms of the risk averse model, inflation …This paper develops two models, one involving risk neutrality and the other risk aversion, which suggest that inflation … evidence supports the hypothesis that inflation uncertainty affects interest rates. Interpreted in terms of the risk neutral …