combines the uncertainty shock idea of Bloom (2009) with a model of international trade, extending the idea to the open economy … costs of ordering firms hold an inventory of intermediates. We show that in response to an uncertainty shock firms optimally …

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …

trend in yield differentials, which is correlated with a measure of aggregate risk. In contrast, liquidity differentials … differentials should increase in both liquidity and risk, with an interaction term of the opposite sign. Testing these predictions … on daily data, we find that the aggregate risk factor is consistently priced, liquidity differentials are priced for a …

commensurate with their risk aversion; more risk-averse individuals pick lower-volatility stocks. The investors' portfolio …The preferred risk habitat hypothesis, introduced here, is that individual investors select stocks with volatilities … consistent with the predictions of the hypothesis: the portfolios contain highly similar stocks in terms of volatility, when …

both create and share the risk associated with exchange rate volatility. In such circumstances, monetary policy can be used … of noise traders alters the composition of the market and generates excess exchange rate volatility, since noise traders … to lower exchange rate volatility without altering macroeconomic fundamentals. …

specification is severely rejected in favour of our threshold VAR. However, in the estimation the feedback is found to be …

. Exchange rate risk means domestic-currency bonds are imperfect substitutes for foreign-currency bonds. Expectations are … the former, no real risk premium exists, but increased monetary variance reduces current output, which nominal wage … rigidity makes responsive to aggregate demand. With the latter source of uncertainty a premium exists, but neither the risk …

information spillovers across markets on the export patterns of four developing countries (Egypt, Korea, Malaysia and Tunisia). A …