In a global game, larger ambiguity is shown to decrease the amount of coordination each player perceives. Consequently, small uncertainty tends to select the Pareto dominated equilibrium of the game without uncertainty. Implications for models of financial crises are drawn.

This paper uses a two-step approach to characterize the evolution of US macroeconomic and financial variables during episodes of very high uncertainty. First, we identify episodes of very high uncertainty using a regime-switching model. Second, we assess the behavior of macroeconomic and...

We examine time-varying correlations among stock market returns, implied volatility and policy uncertainty. Our findings suggest that correlations are indeed time-varying and sensitive to oil demand shocks and US recessions.

Using a statistical methodology guided by a genetic algorithm, we select the best econometric model for explaining the severity of the 2008 crisis, with the main determinant being the percentage of bank claims on private sector over deposits in the year 2006.

The collapse of Iceland’s financial system in October 2008 is used as a natural experiment to test whether advertising decisions have a forward-looking component. The results show that changes in the volume of advertisements precede changes in investment.

We present processes on stock exchange as two random processes one of which reflects the regular regime of economy and the other one–crises. If regular processes are correctly recognized with the probability slightly higher than 1/2, this gives positive average gain to the player. We believe...