The Real Response to Uncertainty Shocks: The Risk Premium Channel

The authors thank Martin Andreasen, Patrick Augustin, Jules van Binsbergen, Nick Bloom, Christian Brownless, Brent Bundick, Sulkhan Chavleishvili, Max Croce, Alexandre Dejeanerette, Anthony Diercks, Jesus Fernández-Villaverde, Luca Gambetti, Nicola Gennaioli, Ralph Luetticke, Ilaria Piatti, Franck Portier, Guillaume Roussellet, Lukas Schmid, and Jessica Wachter for valuable comments. The authors also thank Tomasz Piskorski (editor), an anonymous associate editor, and two anonymous referees for their remarks and comments that considerably improved the paper. Finally, the authors thank seminar participants at the Federal Reserve Bank of Atlanta, Georgia State University, McGill University, Texas A&M, University College London, and the University of Georgia as well as participants at the 2017 Stanford Institute for Theoretical Economics (SITE) Volatility Workshop; the 25th Finance Forum Conference; the 49th Money, Macro, and Finance Conference; the 5th York Asset Pricing Workshop; the 2018 Mid Finance Association (MFA) Annual Meeting; the Frontiers of Finance Conference; the 2018 Stanford SITE Asset Pricing Workshop; the Asset Pricing Conference at Collegio Carlo Alberto; the 2019 Society for Economic Dynamics (SED) Annual Meeting; the 2019 Financial Intermediation Research Society (FIRS) Conference; the 2019 Santiago Finance Workshop; the 9th Instituto Tecnologico Autonomo de Mexico (ITAM) Finance Conference; and the 8th HEC–McGill Winter Finance Workshop.