This article reviews the predictability evidence on the variance risk premium: (a) It predicts significant positive risk premia across equity, bond, currency, and credit markets; (b) the predictability peaks at few-month horizons and dies out afterward; (c) such a short-run predictability is complementary to the long-run predictability offered by the price-to-earnings ratio, forward rate, interest differential, and leverage ratio. Several structural approaches based on the notion of economic uncertainty are discussed for generating these stylized facts about the variance risk premium, which has broad implications for various empirical asset pricing puzzles.

中文翻译：

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方差风险溢价，资产可预测性难题和宏观经济不确定性

本文回顾了方差风险溢价的可预测性证据：（a）预测整个股票，债券，货币和信贷市场上的正风险溢价；（b）可预测性在几个月的时间达到顶峰，然后消失；（c）这种短期可预测性是对市盈率，远期利率，利率差和杠杆率所提供的长期可预测性的补充。讨论了基于经济不确定性概念的几种结构化方法，以生成有关方差风险溢价的这些程式化事实，这对各种经验资产定价难题均具有广泛的含义。