expected and unexpected in ation shocks embedded in sovereign bond yields; and provides estimates of the real risk-free rate … recent years, a low real risk-free rate, as well as low levels of compensation for both expected and unexpected in ation. The … on the embedded in ation risk premium of issuing nominal debt, appears to be eroded by the liquidity premium charged by …

This paper tests the existence of a risk premium in the one-month and three-month forward exchange markets. …

returns. The only identifying assumption is that this λ-shock demands the highest risk price per unit of exposure, or …

There is a tight empirical link between the determinants of the cross-section of risk premia and selected structural …

area equity market uncertainty and investors risk aversion within a structural VAR framework. An expansionary balance sheet … shock decreases both risk aversion and uncertainty at least in the medium-run. A negative shock on policy rates has also a … negative impact on risk aversion and uncertainty. These results are generally robust to different specifications of the VAR …

endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and … analytical decomposition to illustrate how multiple distinct endogenous risk wedges account for these differences. Supply and …

the impact of uncertainty risk on oil prices. Economic policy uncertainty and geopolitical risk were used as proxy … variables for economic and political uncertainty risk. The study results indicate that oil price is driven jointly by two … uncertain risk factors, where the impact of economic policy uncertainty is significantly greater than that of geopolitical risks …