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Publications [#266063] of Ravi Bansal

Journal Articles

  1. Bansal, R; Kiku, D; Shaliastovich, I; Yaron, A, Volatility, the Macroeconomy, and Asset Prices, The Journal of Finance, vol. 69 no. 6 (December, 2014), pp. 2471-2511, WILEY, ISSN 0022-1082 [doi]
    (last updated on 2021/10/24)

    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.


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