demand shocks. We estimate macro risk factors that drive "bad" (negatively skewed) and "good" (positively skewed) variation … for supply and demand shocks. We document that macro risks significantly contribute to the variation of yields, risk … premiums and return variances for nominal bonds. While overall bond risk premiums are counter-cyclical, an increase in …

addition to the credit risk of the sovereign it reflects a whole set of extra risk factors such as inflation, exchange rate …

We present a theory in which limited risk sharing of idiosyncratic labor income risk plays a key role in determining … the dynamics of interest rates. Our production-based model relates the crosssectional distribution of labor income risk to … observable aggregate labor market variables. Our model makes two key predictions. First, it predicts positive risk premia for …

estimate "macro risk factors" that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and … significantly contribute to the variation yields, risk premiums and return variances for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in demand variance lowers risk premiums …

these events. Using theory and simulations we study the implications of the imminent threat of climate change on different … that lead to these assets becoming stranded. Our result suggest that climate change implies a positive and increasing risk … risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

of these events. Using theory and simulations we study the implications of the imminent threat of climate change on … risk premium, with the overall equity premium depending on the volatility of the stochastic process that governs climate … change risk. Transition risks lower substantially the participation of carbon intensive assets in the market portfolio, which …

implied risk premium, expected risk free rate and their volatilities comparable to the magnitudes observed in data. The model … with fat tails leads to a significant increase in implied risk premia over the benchmark Gaussian model, but similar risk …

-run decline since the 1870s, and that its trend is markedly different to that in the safe rate. As a consequence, the ex ante risk … premium exhibits large secular movements, and risk premia and safe rates are strongly negatively correlated. Our findings … suggest that time varying risk appetite is a key driver of expected risky and safe returns – not only in the short, but also …

influences the testing outcome thus quantifying the model risk associated with these model features. The model risk measure …