of climate risks. This paper introduces a model of climate risk hedging and estimates that approximately three percent of …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

funds futures data. The uncertainty is highest when it signals a loosening cycle. The uncertainty raises the risk premium in …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

We formalize the idea that the financial sector can be a source of non-fundamental risk. Households' desire to hedge … against price volatility can generate price volatility in equilibrium, even absent fundamental risk. Fearing that asset prices … may fall, risk-averse households demand safe assets from leveraged intermediaries, whose issuance of safe assets exposes …

downward sloping term structure of low-frequency variance risk premia in normal times. In periods of distress, the term …

stochastic and co-moves with market risk, the BNPLCCAPM pricing kernel can jointly price size- and book-to-market-sorted stock …

This paper analyzes the equilibrium pricing implications of contagion risk in a Lucastree economy with recursive … implications. The risk premium for such shocks is superadditive, i.e. it is 2.5% larger than the sum of the risk premia for pure … endowment shocks and regime switches. Moreover, contagion risk reduces the risk-free rate by around 0.5%. We also derive …