We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and … conditional equity premium and risk-free rate in equilibrium. Our empirical analysis shows that the equity premium appears to be … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing …

We propose a comprehensive measure of systematic risk for corporate bonds as a nonlinear function of robust risk … factors and find a significantly positive link between systematic risk and the time-series and cross-section of future bond … returns. We also find a positive but insignificant relation between idiosyncratic risk and future bond returns, suggesting …

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with … a simple extension of the long-run risk model …

idiosyncratic stock market volatility, on individual outcomes. We find that firms provide at best partial insurance to their workers …

risk sharing to aggregate volatility as predicted by our model …We show that aggregate volatility affects the extent to which agents can share idiosyncratic risks through the … volatility differs. While aggregate volatility decreases the value of private assets--they are exposed to more variation …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

We reconsider the empirical links between volatility and growth between 1970 and 2007. There is a strong and … their economies. The amount of volatility driven by these external factors is highly correlated, cross-sectionally, with the … overall amount of volatility in GDP growth. There is also a strong correlation between a country's average growth rate and the …

price volatility and "sentiment" fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two … overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this "sentiment risk." …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can … account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …

We characterize the joint dynamics of dividends, expected returns, stochastic volatility, and prices. In particular …, with a given dividend process, one of the processes of the expected return, the stock volatility, or the price …-dividend ratio fully determines the other two. For example, together with dividends, the stock volatility process fully determines …