Essays in Asset Pricing

In the first chapter, I build a New Keynesian asset pricing model with optimal monetary policy and Epstein-Zin preferences that accounts for some of the stylized facts concerning the term structures of equity and bond risk premia. The model-implied term structure of equity risk premia and its volatility are downward sloping, the term structure of bond risk premia is upward sloping, and the term structure of Sharpe ratios on dividend strips is downward sloping.