Why do long-run interest rates respond to central bank communication? Whereas existing
explanations imply a common set of signals drives short and long-run yields, we show that …

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 …

Persistent gender gaps in political officeholding and mass political participation jeopardize
women's equal representation in government. This paper brings new evidence to the …

Fixing the investment horizon, the returns to currency carry trades decrease as the maturity
of the foreign bonds increases. Across developed countries, the local currency term premia …

We characterize when physical probabilities, marginal utilities, and the discount rate can be
recovered from observed state prices for several future time periods. We make no …

Long-term treasury yields are known to be (i) excessively volatile (Giglio and Kelly, 2018),(ii)
highly sensitive to short-rate movements (Hanson et al., 2018), and (iii) highly predictable …

We present a sufficient condition under which the prices of options written on a particular
stock can be aggregated to calculate a lower bound on the expected returns of that stock …

Starting with the fundamental relation that state prices are the product of physical
probabilities and the stochastic discount factor, Ross (2015) shows that, given strong …

This paper shows that there is more scope for a borrower to engage in a sustainable infinite
debt rollover (a “Ponzi scheme”) when interest/growth rates are stochastic. In this context, I …

This paper extends the long‐term factorization of the stochastic discount factor introduced
and studied by Alvarez and Jermann (2005) in discrete‐time ergodic environments and by …