This paper is a critical review of the literature on the “equity premium puzzle≓. The puzzle,
as originally articulated more than fifteen years ago, underscored the inability of the …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

This paper provides an overview of the analysis of the term structure of interest rates with a
special emphasis on recent developments at the intersection of macroeconomics and …

This paper develops and estimates a monetary model that offers an explanation of some
puzzling features of observed returns on equities and default-free bonds. The key feature of …

Abstract Linearized New Keynesian models and empirical no-arbitrage macro-finance
models offer little insight regarding the implications of changes in bond term premiums for …

The basic inability of standard theoretical models to generate a sufficiently large and
variable nominal bond risk premium has been termed the “bond premium puzzle.” We show …

This paper studies the equilibrium term structure of nominal and real interest rates and the
time-varying bond risk premia implied by a stochastic endogenous growth model with …

We adopt a statistical approach to identify the shocks that explain most of the fluctuations of
the slope of the term structure of interest rates. We find that one shock can explain the …

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 …

This paper modifies standard asset pricing models by introducing capital, a variable labor
supply, and money. A surprising, but very positive, result is that in a real production economy …