policy. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility …"We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary … monetary policy decreases risk aversion after about five months. Monetary authorities react to periods of high uncertainty by …

qualitatively: (i) equity premium puzzle (ii) risk-free rate-puzzle (iii) excess volatility puzzle (iv) predictability of aggregate …"This paper incorporates a time-varying intensity of disasters in the Rietz-Barro hypothesis that risk premia result …-varying amount. This in turn generates time-varying risk premia and thus volatile asset prices and return predictability. Using the …