to the collapse in world trade and sharp drop in commodity prices. Things were made worse by emerging markets' exposure …

equity capital to the risk-free interest rate. When equity capital falls, bankruptcy risks rise. Firms become more vulnerable …

In this paper, we study the interplay between sovereign risk and global financial risk. We show that a substantial … portion of the comovement among sovereign spreads is accounted for by changes in global financial risk. We construct bond … measure global financial risk. Through panel regressions and local projection analysis, we find that an increase in global …

We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining … the dynamics of interest rates. Our production-based model relates the crosssectional distribution of labor income risk to … observable aggregate labor market variables. Our model makes two key predictions. First, it predicts positive risk premia for …

basis points in the current federal funds rate at normal times. However, during a crisis period with risk aversion being …

dynamics of inflation risk premia over the 1983-2013 period by allowing for time-varying market prices of inflation risk and … ten-year yield suggests a decline in the estimated inflation risk premium of 1.7 percentage points from the early 1980s to … recovery, in 2010-2012. The model's ability to generate sensible estimates of the inflation risk premium has important …