This note sketches the issues that arise while interpreting the relation between macroeconomic volatility and financial risk premia from the perspective of the standard consumption-based asset pricing model. The relation arises from the fact that all assets are priced by the same 'pricing...

We study optimal hedging design for returns on an Italian equity mutual fund index since 2008. Alternative hedging instruments include one-month futures contracts for FTSE-MIB, FTSE100 and Xetra DAX. We use bivariate models of our Italian equity mutual fund index and each hedging instrument to...

The operational performance of a set of simple monetary pol- icy rules à la Taylor in a model with capital accumulation and nominal and real rigidities is discussed with a special emphasis on the volatility of output, nominal rate and in.ation rate. Within an enriched modelling framework it is...