Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramírez and Martín Uribe (2011) find that risk … rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more … than doubles. Hence, risk matters more in the recalibrated model. However, the recalibrated model does worse in capturing …

stochastic volatility (USV): volatility risk that cannot be hedged with bonds or swaps. Simulated data is used to assess the …, unspanned. By comparing hedged and unhedged returns of interest-rate options, I assess volatility risk relative to interest …-rate risk, providing a conceptual framework with quantitative guidelines …

this model is that the risk premium of yields is directly driven by the time-varying variance-covariance of the VAR …

two components to describe the time-series dynamics. Relative to the risk-neutralmodel, the mixture model is able to let …

excess kurtosis. Therefore, we revisited the fundamental relation between expected growth and the real risk-free rate … growth and real risk-free interest rate, and a negative relationship between macroeconomic uncertainty and real rates … lowers the level of persistence of consumption growth and adds more dimensions of risk that are not captured by conditional …