Banks' balance sheet exposure to fluctuations in interest rates strongly forecasts excess
Treasury bond returns. This result is consistent with optimal risk management, a banking …

We develop a simple flexible-price model of business cycles driven by spikes in risk
premiums. Aggregate shocks increase firms' uninsurable idiosyncratic risk and raise risk …

In an overlap**-generations economy, the consumption growth of a given cohort member
(the “marginal agent”) differs from the aggregate consumption growth. A cohort member is …

Does heterogeneity matter for asset pricing and in particular for risk premia? Starting with an
irrelevance result, I classify the literature into two groups of papers according to how they …

Inspired by experimental evidence, we amend the recursive utility model to let risk aversion
decrease with the temporal horizon. Our pseudo-recursive preferences remain tractable and …

In this study, we investigate the dynamic relationship between return and liquidity in the
Brent and the West Texas Intermediate (WTI) oil markets. The research utilises daily oil price …

We study an economy without bubbles in which expectations about future discount rates can
become self-fulfilling because asset valuations redistribute wealth across different investor …

Financial institutions manage myriad sources of interest rate risk. We propose a new method
to measure financial institutions' residual interest rate risk using high-frequency financial …

We propose a unified theory of asset price determination encompassing both “conventional”
and “alternative” asset classes (private equity, real estate, etc.). The model features …

We develop a tractable asset-pricing framework characterized by imperfect risk sharing
among cohorts, who experience different levels of integrated life-time endowments. While all …