individual financial risk taste changes over time with the background macroeconomic and financial conditions, as well as personal … and subjective exposure to portfolio risk. Considering six different self-assessed facets, we find that risk appetite is … higher during periods of economic growth and lower during periods of recession. Risk taste is however unrelated to time when …

In this paper I investigate the relation between macroeconomic risk and higher-moment risk premia. I use existing … methodology for kurtosis swaps. The expected excess returns on such swaps are interpreted as higher-moment risk premia. I find … evidence supporting an increase in tail risk when variance is low and expectations about economic growth are positive. In such …

This paper describes an equilibrium macro finance model where contracts are the mechanism by which differentially risk …-investment decisions generating operating income and operating risk) and (financial decisions generating financial risk); and 2 no … constrained managers of the representative firm make production-investment decisions that conform to the risk aversion of …

This paper describes a parsimonious macro-finance model where contracts are the mechanism by which differentially risk … in risk aversion or perception of risk changes the market valuations of their securities and has the representative firm … adjustment is designed to offset any risk shifting effects on the market valuation of bonds. The model set-up includes 2 …

Most macroeconomic models fail to replicate the level, volatility, and countercyclicality of risk premia which has been …-varying risk of economic disaster. Both asset prices and macroeconomic aggregates respond to this time-varying risk. The model is … prices. An increase in the risk of disaster leads to a collapse of investment and a recession, with no current or future …

shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business … risk of disaster does not affect the path of macroeconomic aggregates - a "separation theorem" between macroeconomic … variation in risk premia over time, are observationally equivalent to preference shocks. An increase in the perceived …