macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the … standard bond risk premium predictors based on yield curve and macroeconomic fundamentals. The predictive power of MPU is not …

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

excess return and growth of economic activity are positively related to the risk-neutral expectation, one of the term spread …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … (“uncertainty”), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …. The effect of monetary policy on risk aversion is also apparent in regressions using high frequency data …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … (“uncertainty”), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …