risks significantly contribute to the variation of yields and risk premiums for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in aggregate demand variance significantly lowers risk premiums. Macro risks also …

-term interest rate risk and shed light on the impact of temporary and long-lasting interest rate shocks on security prices …

demand shocks. We estimate macro risk factors that drive "bad" (negatively skewed) and "good" (positively skewed) variation … for supply and demand shocks. We document that macro risks significantly contribute to the variation of yields, risk … premiums and return variances for nominal bonds. While overall bond risk premiums are counter-cyclical, an increase in …

addition to the credit risk of the sovereign it reflects a whole set of extra risk factors such as inflation, exchange rate …

Under what conditions can the term structure of risk premia be downward sloping, as reported in a number of recent … empirical studies? I study fixed income and equity risk premium term structures and the long run risk in a continuous time Lucas …-Zin-Weil preferences. I derive closed form solutions for the term structures of the risk premia of finite maturity bonds, the equity market …

real activity, at the aggregate and at the firm-level. We develop a dynamic model of corporate investment and risk … opportunities, as for these firms risk management through swaps is, effectively, risky …

-varying) non-Gaussian features of the structural shocks to estimate "macro risk factors" for supply and demand shocks that drive … the good demand variance risk factor. In contrast, the risk factors driving bad variance for both supply and demand shocks … the variation in yields, bond risk premiums and the term premium. While overall bond risk premiums are counter …