This note sketches the issues that arise while interpreting the relation between macroeconomic volatility and financial … are positively related to consumption growth volatility. Therefore, from the perspective of this workhorse often employed … in the academic debate, the persistent reduction in macroeconomic volatility can be considered a cause for the low …

In a tractable stochastic volatility model, we identify the price of the smile as the price of the unspanned risks … traded in SPX option markets. The price of the smile reflects two persistent volatility and skewness risks, which imply a …-form and structural models of stochastic volatility …

in the FF model, three macro factors: changes in market volatility, yield spread, and credit spread, are included in the …

This paper investigates the role of volatility risk on stock return predictability specified on two global financial … volatility forecasting measures on future stock returns in four different periods (bear and bull markets). First we find clear … and robust empirical evidence that the implied idiosyncratic volatility is the best stock return predictor for every sub …

disaster. In the model, aggregate consumption follows a normal distribution with low volatility most of the time, but with some … the equity premium, while time-variation in the probability of this outcome drives high stock market volatility and excess …

while allowing for aggregate stochastic volatility. We find that the bulk of yield dynamics comes from short rate …

stochastic volatility (USV) …

We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term … and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation … risk premia averaging at 40bps at the long-end, and which are strongly related to the volatility factor and conditional …

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …