The asset-market evidence suggests that investors are concerned with large downward moves in equity prices, which occur about once every one or two years in the data. This evidence is puzzling as there are no concurrent jumps in macroeconomic fundamentals at such frequencies. I estimate a...

This paper examines the association between option-implied interest rate distributions and macroeconomic expectations in the context of a forward-looking monetary policy rule. We presume that market participants view the policy rule as a guide to the path of future policy rates and price...

Many commentators have argued that if the Federal Reserve had followed a stricter monetary policy earlier this decade when the housing bubble was forming, and if Congress had not deregulated banking but had imposed tighter financial standards, the housing boom and bust - and the subsequent...

I build a dynamic capital structure model that demonstrates how business-cycle variations in expected growth rates, economic uncertainty, and risk premia influence firms' financing and default policies. Countercyclical fluctuations in risk prices, default probabilities, and default losses arise...

This paper addresses the question of whether the oil price spike of 2003-2008 was a bubble. We document and discuss what is known about the level of speculation in the paper oil market. We then analyze the dynamics of the term structure of futures prices, both during the earlier period of...

I examine corporate pandemic bonds, whose proceeds are committed to COVID-19 containing activities. I find an average cumulative abnormal return of 1.33–1.71% during the five trading days surrounding their issuance announcement. Also, their yield spread is 13.8–20.9 basis points lower than...

The equity variance risk premium is the expected compensation earned for selling variance risk in equity markets. The variance risk premium is positive and shows moderate persistence. High variance risk premiums coincide with the left tail of the consumption growth distribution shifting down....

This paper obtains monthly implied volatilities of the New York securities market from 1890 to 1934 from interest rate differentials. The implied volatilities did predict the 1929 crash but no other financial crisis. The historical implied volatilities are similar to their modern (2008-2019)...

This paper provides empirical evidence that the size of the spillovers from U.S. monetarypolicy to non-oil GDP growth in the GCC countries depends on the level of oil prices. Thepotential channels through which oil prices could affect the effectiveness of monetary policyare discussed. We find...

Replacing equity return (as in the equity risk premium) with returns on an arbitrary contingent claim, we obtain a new class of economic risk premiums to impose upon candidate models. These risk premiums reflect the distance between the physical and risk-neutral moments for asset returns, can be...