Despite its importance implied in asset pricing and macroeconomic models, insurance against long-run volatility risk has received little empirical documentation regarding its demand, supply, or pricing. This paper bridges the gap. First, I show that households have directly purchased large...

This paper studies the volatility implications of anticipated cost-push shocks (i.e. news shocks) in a New Keynesian model with hybrid price setting both under optimal unrestricted and discretionary monetary policy with flexible inflation targeting. If the degree of backward-looking price...