bond risk premiums. Furthermore, the model-implied risk premiums account for up to 40% of the variability of one- and two …

macroeconomic sources of risk. From the estimated term premia we recover the term structure of interest rates and examine how it …

-switching VECM approach for U.S. data outperforms a linear VECM. Moreover, the regime shifts in the risk premium and the equilibrium …

debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as …

debated. Using a cointegrated VAR model of US treasury yields, this paper extends a common approach to test the theory. If, as …

We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as … raises the costs of financing. The risk premium embedded in the bankruptcy costs causes firms with high systematic risk to …, endogenous maturity choice can also reduce and even reverse the effect of rollover risk on credit spreads. We provide empirical …

to meet their financial obligations. It is based on classical financial-statement approach, a direct inclusion of risk …

We assess the effect of aggregate stock market illiquidity on U.S. Treasury bond risk premia. We find that the stock …