Of course, one could provide specific explanations to any particular market that could rationalize the decline in individual risk premia. One striking feature has been, however, the persistent and  2  BIS Review 49/2009  synchronized decline in risk premia across all markets.
Estimated risk premia in the stock market before the intensification of the crisis in September 2008 were one third and two thirds below their values at the beginning of the 1980s, in the euro area and the US respectively. Term premia in bond markets had lost before the crisis three fourth of their estimated value at the middle of the 1990s.