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

uncertainty ahead of macro announcements during the cycles, which in turn leads to changes in risk aversion and inventory capacity …

We estimate a highly significant price of risk that forecasts global stock and bond returns as a nonlinear function of … the CBOE Volatility Index (VIX). We show that countries' exposure to the global price of risk is related to macroeconomic … downside risk. Higher exposure to the global price of risk corresponds to both higher output volatility and higher output …

Asset pricing models assume the risk-free rate to be a key factor for equity prices. Hence, there should be a strong … link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses …

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 …

We analyze the relationship between the stance of Eurozone monetary policy and the implicit risk aversion in the … the U.S. Federal Reserve. Our results show that a lax monetary policy decreases risk aversion, bearing out the evidence …

We show that systemic risk in the banking sector breeds macroeconomic uncertainty. We develop a model of a production …-driven uncertainty amplifies business cycle volatility and increases risk premia on asset prices. A countercyclical capital buffer lowers …