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 …

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 …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can … account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …

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 …

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 …

being financially constrained leads to an increase in risk premia. Even for a small adverse shock to productivity a drop in … framework a constraint on leverage induces countercyclical risk premia in equity markets even when it does not bind. …