of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. The lower … that is weaker in high volatility periods. To rationalize our robust empirical results, we use a macroeconomic model in … volatility of aggregate shocks. In low volatility periods, banks lever up, which makes their balance sheets more sensitive to …

. We ask whether stochastic asset volatility, as an extension to this model class, has the ability to help resolve this … risk volatility itself, dependence between the levels of risk and asset value and finally volatility risk premia), in a … calibration setting only the volatility risk premium channel is economically significant. We show that this feature of a …

. We ask whether stochastic asset volatility, as an extension to this model class, has the ability to help resolve this … risk volatility itself, dependence between the levels of risk and asset value and finally volatility risk premia), in a … calibration setting only the volatility risk premium channel is economically significant. We show that this feature of a …

. We ask whether stochastic asset volatility, as an extension to this model class, has the ability to help resolve this … risk volatility itself, dependence between the levels of risk and asset value and finally volatility risk premia), in a … calibration setting only the volatility risk premium channel is economically significant. We show that this feature of a …