premiums and interest rate risk for a sample of commercial banks. As has been previously done, bank deposit rate and balances … importance of distant rent forecasts and forecast dynamics for the deposit premium and interest rate risk estimates. …

We find that adding a measure of market jump volatility risk to a regression of excess bond returns on the term … price-dividend ratio in explaining much of the countercyclical movement in bond risk premia. We argue that this finding …

This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method … volatilities results in significant temporal dependencies in the estimated stochastic volatility risk premium, which we in turn … relate to a set of underlying macro-finance state variables. We also find that the extracted volatility risk premium helps …

the pattern and severity of financial contagion depends on the size of markets' sensitivities to common macroeconomic risk … in common. In addition, contagion occurs in the absence of any news, and before the macroeconomic risk factors are …

financial markets to the broad macro-economy. We focus on the risk sharing (or income smoothing) role of financial markets and … demonstrate that risk sharing levels are higher in U.S. states in which investors have higher cognitive abilities and exhibit … weaker behavioral biases. Further, states with better risk sharing opportunities achieve higher levels of risk sharing if …