This paper provides a comprehensive overview of the young, but rapidly growing literature on sovereign credit default swap premia, describes key statistical and stylized facts about prices, the market, its players and related trading activities and attempts to raise some thought-provoking...

We propose two metrics for asset pricing models and apply them to representative agent models with recursive preferences, habits, and jumps. The metrics describe the pricing kernel’s dispersion (the entropy of the title) and dynamics (time dependence, a measure of how entropy varies over...

Identi fication problems arise naturally in forward-looking models when agents observe more than economists. We illustrate the problem in several macro- finance models with Taylor rules. When the shock to the rule is observed by agents but not economists, identifi cation of the rule's parameters...