sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the … possibility of jumps in one sector triggering higher overall jump probabilities boosts jump risk premia while uncertainty about … the regime is the reason for sizeable diffusive risk premia. …

some savers have no risk-sharing motives, there exists a non-negligible set of economies (endowments) and equilibria at …

-dependent mortality risk. This is because while a more progressive benefit-earnings rule provides increased insurance for households with … relatively unfavorable earnings histories, and therefore lower savings and survivorship, their relatively high mortality risk …

Under risk, Arrow-Debreu equilibria can be implemented as Radner equilibria by continuous trading of few long …

-run and short-run risk. First, we document that our model can match consumption data of several countries. Second, we show … that in a model with recursive preferences our new channel generates a large equity risk premium even if the consumption …