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 … on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by …

We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In … our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her … risk perception which shape saving propensities over time. In bad times, when risk is perceived to be higher in the short …

structure (of interest rates) models. Stock returns and bond yields as well as risk premia are affine functions of the state …

, the announcement produced substantial spillover effects on risk premia. Credit risk premia declined, both in the corporate … ineligible bonds. Firms took advantage of reduced risk premia by issuing riskier bond types. Using a novel and comprehensive …

into components of expected future earnings and equity risk premia. Then, we evaluate how these react to general and sector … sector are mainly driven by changes in equity risk premia, while changes in earnings expectations play a comparatively larger …

basis. Finally, when global financial risk is on the rise, US mutual fund managers repatriate their investments towards US …

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that … assets. Because households are subject to more background risk than previously considered, the estimated model implies a … substantially lower coefficient of risk aversion. We also find renewed support for rule-of-thumb investment strategies under the …

We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we … develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence … of climate risk premia. Results suggest that climate risk premia for both, transition and physical climate risk, have …

confidence and cyclical indicators remain important. -- Break-even inflation rates ; inflation risk premia ; business cycle …