both the level and the slope of the yield curve. Moreover, time-variations in liquidation risk are shown to help explain …

in preference heterogeneity. It develops a model with both uninsurable idiosyncratic income risk and risk aversion … heterogeneity to quantify their effects on wealth inequality. The results show that with the available estimates of the risk …, the share of wealth held by the top 1% is still substantially underestimated. It is also shown that models without risk …

novel financial precautionary motive, which compounds the classical motive associated with idiosyncratic income risk, as … borrowers accumulate risk-free bonds to hedge against them. Using a structural model, I estimate that this motive is an … decade despite consumption growth, solving a "post-Great Recession risk-free rate puzzle". It is also critical for the …

Purpose: The purpose of this paper is to analyze the efficiency loss due to incomplete financial markets when risk is …

extended model with an infinite horizon, idiosyncratic risk and more realistic assumptions is used to demonstrate the general …

idiosyncratic risk. Rather than relying on compactness to establish existence, I exploit the monotonicity property of the … economy as in Huggett (1993) with aggregate risk …

models are more likely to have generated the data. In particular, despite its generality, a model with both risk aversion and …

convex dynamic risk measure generated by the solution of a backward stochastic differential equation. The agents are exposed … to financial and non-financial risk factors. They can hedge their financial risk in the stock market and trade a … structured derivative whose payoff depends on both financial and external risk factors. We prove an existence and uniqueness of …

We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky …