It is important to understand that the close co-movements that appear when comparing trends in premia with trends in macro-volatilities are not inconsistent with an alternative, inverse pattern of causation: one predominantly running from financial market prices to the macro-economy. Exogenous changes in financial markets may have caused an original fall in risk premia.
Since asset prices provide signals for profitable investment opportunities, affect the wealth of households, and influence the cost of capital to firms and households, a compression of risk premia in the markets for capital and credit may have put the economy on a different expansion path where incomes grow faster and are less uncertain.