A dynamic stochastic general equilibrium (DSGE) model in which households have Epstein
and Zin recursive preferences is solved with perturbation. The parameters governing …

We provide new estimates of the importance of growth-rate shocks and uncertainty shocks
for developed countries. The shocks we estimate are large and correspond to well-known …

This paper shows that the latest generation of asset pricing models with long‐run risk exhibit
economically significant nonlinearities, and thus the ubiquitous Campbell‐Shiller log …

The shape of the term structure of credit default swap spreads is an informative signal about
the importance of global and domestic risk factors to the time variation of sovereign credit …

When government debt is sluggish, consumption exhibits lower expected growth, more long-
run uncertainty, and more long-run downside risk. Simultaneously, the risk premium on the …

In this paper, we develop lower bounds on the variance of the permanent component and
the transitory component, and on the variance of the ratio of the permanent to the transitory …

We develop a conditional capital asset pricing model in continuous time that allows for
stochastic beta exposure. When beta comoves with market variance and the stochastic …

This paper studies trends in the expected return on equity and housing and its relationship
with the safe rate. Across 17 advanced economies, the expected risky return has been in …

We show that several asset pricing models that rely on long-run risks imply that the state of
the economy can be captured by factors derived from the price-dividend ratios of stock …

We develop a model to study the correlation between corporate bonds and stocks. The
model predicts that a firm's stock and bond returns have opposite exposures to stochastic …