The authors estimate the equity risk premium (ERP)—the expected return on stocks in
excess of the risk-free rate—by combining information from twenty models for the period …

In this article, we provide a model of the macroeconomic implications of safe asset
shortages. In particular, we discuss the emergence of a deflationary safety trap equilibrium …

We show how to price the time series and cross section of the term structure of interest rates
using a three-step linear regression approach. Our method allows computationally fast …

Using Bayesian methods, we estimate a nonlinear DSGE model in which the interest-rate
lower bound is occasionally binding. We quantify the size and nature of disturbances that …

We document a highly significant, strongly nonlinear dependence of stock and bond returns
on past equity market volatility as measured by the VIX. We propose a new estimator for the …

Do “real” assets protect against inflation? Core inflation betas of stocks are negative while
energy betas are positive; currencies, commodities, and real estate also mostly hedge …

We formalize the concept of “dark matter” in asset pricing models by quantifying the
additional informativeness of cross‐equation restrictions about fundamental dynamics. The …

Evaluating how factor premia vary over time and across asset classes is challenging due to
limited time series data, especially outside of US equities. We examine four prominent …

We use a large cross section of equity returns to estimate a rich affine model of equity prices,
dividends, returns, and their dynamics. Our model prices dividend strips of the market and …

Benchmark finance and macroeconomic models appear to deliver conflicting estimates of
the natural rate and bond risk premia. This natural rate puzzle applies not only in the US but …