can decelerate growth in the absence of any level shocks. In contrast to level risk, which is always welfare reducing for … a risk-averse household, volatility risk can increase or decrease welfare, depending on model parameters. When … calibrated to U.S. data, the model finds that the welfare cost of volatility risk is largely negligible under plausible model …

idiosyncratic coskewness betas are positive (negative). Standard risk factors, such as the market, size, book-to-market, and …