nonlinear external habits can rationalize the evidence, and it implies that the competitive volatility of consumption is … volatility (a targeting of risk premia) rather than on filling the gap between consumption and its flexible-price counterpart …

the central bank should prioritize removing consumption volatility (a targeting of risk premia) over filling the gap …

volatility and stock return correlations but reduction in risk sharing decreases them. Overall, indexing decreases market … volatility but has an ambiguous effect on the correlations. Also, index investing decreases an investor's welfare, but indexing …

is moderate and the short-run consumption volatility low. I document that the risk-free rate puzzle is a key determinant …

break-even inflation rates when market volatility is high. Our model’s ability to be updated weekly makes it suitable for … real-time monetary policy analysis. -- Affine term structure models ; inflation expectations ; stochastic volatility …

predicted by standard asset pricing models by including a term that is the product of the stock's idiosyncratic volatility and … volatility and expected stocks returns. Relying on forecast revisions from IBES, we construct a new variable that proxies for … this term and show that it explains a signi cant part of the empirical relation between idiosyncratic volatility and stock …