Volatility, the Macroeconomy, and Asset Prices
研究发现宏观经济波动性上升会推高贴现率并减少消费，波动性风险在解释人力资本和股票回报的联合动态中起重要作用，且波动性风险溢价为正，有助于理解预期回报的横截面差异。
ABSTRACT How important are volatility fluctuations for asset prices and the macroeconomy? We find that an increase in macroeconomic volatility is associated with an increase in discount rates and a decline in consumption. We develop a framework in which cash flow, discount rate, and volatility risks determine risk premia and show that volatility plays a significant role in explaining the joint dynamics of returns to human capital and equity. Volatility risk carries a sizable positive risk premium and helps account for the cross section of expected returns. Our evidence demonstrates that volatility is important for understanding expected returns and macroeconomic fluctuations.