as they allow to substantially increase risk aversion, and consequently generate non-trivial risk premia, without … considered. The level and the dynamic pattern of risk premia are also markedly altered. We show that the effect of Epstein …

they allow to substantially increase risk aversion, and consequently generate non-trivial risk premia, without compromising … considered. The level and the dynamic pattern of risk premia are also markedly altered. We show that the effect of Epstein …

funds futures data. The uncertainty is highest when it signals a loosening cycle. The uncertainty raises the risk premium in …

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 …