After lying dormant for more than two decades, the rare disaster framework has emerged as
a leading contender to explain facts about the aggregate market, interest rates, and financial …

From the field's leading authority, the most authoritative and comprehensive advanced-level
textbook on asset pricing In Financial Decisions and Markets, John Campbell, one of the …

Motivated by the evidence that risk premia are large and countercyclical, this paper studies a
tractable real business cycle model with a small risk of economic disaster, such as the Great …

In the context of a dynamic, stochastic, general equilibrium model, we perform classical
maximum likelihood and Bayesian estimations of the contribution of anticipated shocks to …

Two modifications are introduced into the standard real-business-cycle model: habit
preferences and a two-sector technology with limited intersectoral factor mobility. The model …

This paper considers the business cycle, asset pricing, and welfare effects of increased risk
aversion, while holding intertemporal substitution preferences constant. I show that …

The equity premium consists of a term premium reflecting the longer maturity of equity
relative to short-term bills, and a risk premium reflecting the stochastic nature of equity …

This paper presents a model that reproduces the uncovered interest rate parity puzzle.
Investors have preferences with external habits. Countercyclical risk premia and procyclical …

The term premium in standard macroeconomic DSGE models is far too small and stable
relative to the data—an example of the “bond premium puzzle.” However, in endowment …

I study asset prices in a two‐agent macroeconomic model with two key features: limited
stock market participation and heterogeneity in the elasticity of intertemporal substitution in …