The variance risk premium represents the compensation paid to index option sellers for the risk of losses following … produce a sizable and volatile variance risk premium. These shocks coincide with major events such as the LTCM/Russian crisis … risk premium, generating short-term predictability for market excess returns, consistent with the data. In addition, the …

accelerator model, time varying risk shocks, and a zero lower bound on the nominal interest rate. The amplification mechanism … results from a portfolio re-balancing from households, who reduce capital investment in favor of risk-free bonds. Consequently …

labor share of income. I show that this channel is generally absent in standard macroeconomic models that do not take risk …

-agents model with two main ingredients: i) rare disasters; ii) heterogeneous beliefs. The model captures time-varying risk premia …