by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging in ation … expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The …

, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …-term nominal yields over long horizons. The remaining driver of long-term yields are changes in inflation expectations induced by …

We develop a theoretical model that features a business cycle-dependent relation between out- put, price inflation and … inflation expectations, augmenting the model by Svensson (1997) with a nonlinear Phillips curve that reflects the rationale … pronounced convex relationship between inflation and the output gap, meaning that the coefficient in the Phillips curve on the …

risk. An adverse supply shock leads to a deterioration of firms' riskiness 10 per cent above the average PD. Contractionary …We analyse the impact of macroeconomic and monetary policy shocks on corporate credit risk as measured by firms …

How does global risk impact the world economy? In taking up this question, we focus on the dollar’s role in the … global risk shocks in a Bayesian Proxy VAR model. They cause a synchronized contraction of global economic activity and … illustrate through counterfactuals that the dollar appreciation amplifies the adverse impact of global risk shocks outside of the …