My dissertation consists of two essays. The essays analyze the equilibrium impact on asset risk premia of variation in the level of uncertainty and the risk of sizeable non-Gaussian (jump) shocks to important macroeconomic variables. The essays highlight the importance of uncertainty channels...

We document that the deregulation of bank branching restrictions in theUnited States triggered a reallocation across sectors, with end effectson state-level volatility. This change in state-level volatility cannotbe explained simply by shifts in sector-level returns and volatility. Areallocation...

We consider a moral hazard setup wherein leveraged firms have incentivesto take on excessive risks and are thus rationed when they attempt toroll over debt. Firms can sell assets to alleviate rationing. Liquidatedassets are purchased by non-rationed firms but their borrowing capacityis also...

We examine how the banking sector may ignite the formation of assetprice bubbles when there is access to abundant liquidity. Inside banks,given lack of observability of effort, loan officers (or risk takers)are compensated based on the volume of loans but are penalized if bankssuffer a high...

We build an equilibrium model of commodity markets in which speculators are capital constrained, and commodity producers have hedging demands for commodity futures. Increases in producers' hedging demand or speculators' capital constraints increase hedging costs via price-pressure on futures....