explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate … realistic dynamics of riskneutral and realized volatilities. I provide evidence that the jump risk in volatility of long run … consumption growth is a key component of the equity risk premium and the variance risk premium in financial markets. Moreover, I …

. Instead, we find that two other factors- doubts about the sustainability of disinflation and the existence of a risk premium …

We test the implications of Flannery's (1986) and Diamond's (1991) models concerning the effects of risk and asymmetric … choices. We employ data on over 6,000 commercial loans from 53 large U.S. banks. Our results for low-risk firms are consistent … with the predictions of both theoretical models, but our findings for high-risk firms conflict with the predictions of …

unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in … associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method …

transmission channel of the real exchange rate for parameters such as income on net foreign assets, risk aversion, and risk …

contingent IMF financial support on the risk premiums and the crisis probability. In the model, the country borrows in both short …