We embed a news shock, a noisy indicator of the future state, in a two-state Markovswitching growth model. Our … historical periods in which uncertainty and risk premia were elevated because of news shocks. …

increasing term structure for the risk premium. It also implies that, under the assumption that the cumulants of the distribution … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

the jump intensity is much more important than diffusive volatility risk …We generalize and extend the long-run risk model by Drechsler and Yaron (201'7 by separating the processes for the jump … and lead to an equity risk premium which is increasing not only with short-run but also with long-run uncertainty. Second …

We study a long-run risk model with a stochastic consumption growth rate, a stochastic volatility, a stochastic jump …-varying uncertainty, time-variation in the jump intensity is much more important than time-variation in diffusive volatility risk. Third … uncertainty has far-reaching economic consequences: the equity risk premium is increasing not only with short-run but also with …

increasing term structure for the risk premium. It also implies that, under the assumption that the cummulants of the … investment is larger than half of relative risk aversion. Another important consequence of parametric uncertainty is that the … risk premium is not proportional to the beta of the investment. We apply these general results to the case of an uncertain …

shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business … risk of disaster does not affect the path of macroeconomic aggregates - a "separation theorem" between macroeconomic … variation in risk premia over time, are observationally equivalent to preference shocks. An increase in the perceived …