We provide new empirical evidence that world currency and U.S. stock variance risk premiums have nonredundant and … risk premium are systematically rising along the line of inflation risk. We rationalize these findings in a consumption … stock and currency variance risk premiums …

This paper presents evidence that the foreign exchange appreciation is predictable by the currency variance risk … premium at a medium 6-month horizon and by the stock variance risk premium at a short 1-month horizon. Although currency … variance risk premiums are highly correlated with each other over longer horizons, their correlations with stock variance risk …

This paper presents evidence that the foreign exchange appreciation is predictable by the currency variance risk … premium at a medium 6-month horizon and by the stock variance risk premium at a short 1-month horizon. Although currency … variance risk premiums are highly correlated with each other over longer horizons, their correlations with stock variance risk …

A conditional asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … that equity portfolios that are highly correlated with economic uncertainty proxied by the variance risk premium (VRP …

We find that interest rate variance risk premium (IRVRP) - the difference between implied and realized variances of … horizons up to six months. IRVRP is not subsumed by other predictors such as forward rate spread or equity variance risk … long-run risk, economic uncertainty, and inflation non-neutrality. In the model IRVRP is related to short-run risk only …