We analyze contributions of different markets to price discovery on traded inflation expectations and how it changed … data set on inflation-indexed and nominal government bonds as well as inflation swaps to calculate information shares of … break-even inflation rates in the euro area and the US. For maturities up to 5 years new information comes from both the …

I extend the evidence on the basic stylized facts documented for the U.S. variance risk premium (VP) and show that …

on investors' risk-taking capacity. Overall, our findings show that a byproduct of the United States' central position in …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated … effects. Instead, the evidence points to a direct effect on investor’ risk-taking capacity. Our findings show that a byproduct …

prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated … effects. Instead, the evidence points to a direct effect on investors' risk-taking capacity. Our findings show that a …

This study explores the impact of real economic policy (business condition risk) on the oil-stock nexus risk … the effects of global risk indices, such as the US economic uncertainty index, the crude oil volatility index, and the … geopolitical risk index, on risk connectedness. The study is based on daily data from January 2018 to December 2020 and finds a …

This paper addresses this question with an asset-pricing model featuring endogenous corporate policies. Long-run risk … reflects a firm's profit exposure to slowly-moving expected consumption growth, whereas short-run risk captures the exposure to … frequent unexpected changes in consumption growth. Long-run risk reduces a firm's optimal leverage while driving most of the …