The risk aversion and uncertainty channels between finance and macroeconomics

•This paper investigates how uncertainty and risk aversion affect the behavior of the expected market risk premium.•Risk aversion amplifies economic adverse effects on the expected market risk premium due to exogenous uncertainty shocks.•Once we control for risk aversion, economic policy uncertainty seems to be more relevant than pure macro or financial uncertainty.•Option-based expected market risk premium is an exception to the latest result.