We develop a dynamic stochastic general equilibrium framework that can account for important macroeconomic and financial moments, given Epstein-Zin preferences, heterogeneous banking and third-order approximation methods that yield a time-varying term premium that feeds back to the real economy....

Investors seek to hedge against interest rate risk by taking long or short positions on bonds of different maturities. We study changes in risk taking behavior in a low interest rate environment by estimating a market stochastic discount factor that is non-linear and therefore consistent with...

Bond markets can plummet or rally on the back of sentiment-driven reactions which are unrelated to fundamentals. Therefore, changes in bond prices can not only be interpreted as reflecting risk but also mispricing of long-term assets. These perceived risks can often feed back into the economy by...

We develop a quantitative approach to evaluate the roles of upstream (supplier-to-user), downstream (user-to-supplier) and common factor shock transmission across firms. Inter-firm networks are estimated from U.S. equities over 1989-2017 using machine learning techniques. We then employ a...