alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster …. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and … one with negative expected inflation. Embedded in a general equilibrium asset pricing model with learning, these dynamics …

way to come up with a measure of time-varying disaster risk in the spirit of Wachter (2013). Our findings imply that both … the disaster and the long-run risk paradigm can be extended towards explaining movements in the stock-bond return …

alternative derivation for a measure of time-varying disaster risk suggested by Wachter (2013), implying that both the disaster …. Adding inflation as a second variable, we uncover two states in which expected consumption growth is low, one with high and … one with negative expected inflation. Embedded in a general equilibrium asset pricing model with learning, these dynamics …

only models with time-varying risk aversion or models with high consumption risk can independently produce these patterns … investors exposed to high consumption risk. Additionally, it can give rise to a "consumption-based arbitrageur" story of term …

We examine the connection between tail risk — as measured in Kelly and Jiang (2014) — and the cross-section of expected … risk appears to forecast discount rates — and not cash flows — which seems inconsistent with crash-based explanations of … the importance of tail risk. We also compare the time series of tail risk to measures of aggregate uncertainty, a measure …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

and 4 years is effective in explaining the differences in risk premia across alternative test assets, including recently …

cyclical movements in Treasury bond premia. Downward nominal rigidities create state-dependence in output and inflation … dynamics: a higher level of inflation makes prices more flexible, leading output and inflation to be more volatile, and bonds … to become more risky. The model matches well the relation between the level of inflation and a number of salient macro …