fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap - our measure …

overnight risk-free rates (RFRs) is an important paradigm shift for markets. This special feature provides an overview of RFR …

We study the properties of foreign exchange risk premiums that can explain the forward bias puzzle, defined as the … tendency of high-interest rate currencies to appreciate rather than depreciate. These risk premiums arise endogenously from the …-currency) term structure models reveals a noticeable tradeoff between matching depreciation rates and accuracy in pricing bonds. Risk …

We build an enhanced structural credit risk Merton style model for a risky sovereign having both domestic and foreign …

time‐varying risk premia in the inter-bank market for major currencies. Our results suggest that, at the peak of financial … crisis, the inter-bank spread was clearly driven by liquidity risk. In the aftermath of the crisis, credit risk has become … policy programmes led to the deterioration of liquidity risk in the inter-bank market, and the policy of major Central banks …

advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …