We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …

We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …

financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run … significance levels, and they can track quite closely a new measure of realized annual volatility. Further scrutiny using a rich …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can …

financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run … significance levels, and they can track quite closely a new measure of realized annual volatility. Further scrutiny using a rich …

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …

prices, including the equity premia, risk-free rate and volatility puzzles …

uncertainty (i.e., growth rate volatility) as being time-varying. The magnitudes of the predictable variation and changing … volatility in growth rates, as in the data, are quite small. These growth rate dynamics, for which we provide empirical support …, the model also implies that dividend yields predict returns and that market return volatility is stochastic. The main …

prices, including the equity premia, risk-free rate and volatility puzzles …