We use the term structure of bank CD rates to examine whether maturity-transformation risk is priced into the rates … is strongly related to the amount of maturity-transformation risk that these deposit accounts create. The cost is also …

We review the literature on multi-horizon currency risk premiums. We show how the multi-horizon implications arise from … between bond and currency risk premiums. This link is strengthened by explicitly accounting for stochastic discount factors …. Information about currency risk premiums at different horizons presents a wealth of new evidence and challenges for existing …

needs to set. These perceived "mistakes" induce a policy risk premium and may generate a "behind the curve" phenomenon …

shocks, and generate a policy risk premium …

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 … theory and previous findings …

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

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