are highly integrated with key suppliers of tradeable financial assets. Currency risk premia decrease as network … centrality increases. Asset pricing tests confirm that the centrality risk factor is priced in the cross-section. Further …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

lead to bizarre values of the coefficient of relative risk aversion. On the other side, we claim that the key consumption …

is driven primarily by idiosyncratic country risk. We analyze several local and regional channels that may explain the … trading in sovereign CDS: (a) country-specific credit risk shocks, including changes in a country's credit rating and related …

inflation risk, and lower illiquidity. The 10% increase in integration leads to, on average, a decrease in the sovereign cost of … dissipating local risk premiums. Integration of the sovereign bond markets increases by about 10% on average, when a country moves … from the 25th to the 75th percentile as a result of higher political stability and credit quality, lower inflation and …

This paper formally implements time-varying risk price models for currency returns. Focusing upon time variation in … risk prices, the paper explores four currency risk factors. In addition to dollar and carry factors, we employ momentum and … value factors which are widely used by currency investors. We find time variation in risk prices for the dollar factor is …

on investors' risk-taking capacity. Overall, our findings show that a byproduct of the United States' central position in …