analysis, as measures of real-time model uncertainty. I also study the implications of model uncertainty for the robustness of … commonly applied, simple monetary policy rules. I first document that model uncertainty poses substantial challenges for … optimized simple policy rule--rules that are intended to be robust with respect to model uncertainty--also differ substantially …

.S. economy where the policymaker faces uncertainty about model parameters. Uncertainty about parameters describing preferences … and technology implies not only uncertainty about the dynamics of the economy. It also implies uncertainty about the model … characteristics and performance of alternative monetary policy rules given the estimated uncertainty regarding parameter estimates. We …

compare these optimal rules against plausible alternatives. Model uncertainty is shown to be a substantial problem; the … rules are robust to model uncertainty may be an overly sanguine conclusion. …

We study the trend in household income uncertainty using a novel approach that measures income uncertainty as the … shocks. We find that household income uncertainty has risen significantly and persistently since the early 1970s. For example …, our measure of near-future uncertainty in total family non-capital income rose about 40 percent between 1971 and 2002 …

A consumption-based asset pricing model with risk and uncertainty implies that the time-varying exposures of equity … portfolios to the market and uncertainty factors carry positive risk premiums. The empirical results from the size, book … (individual stocks) with market and uncertainty predict the time series and cross-sectional variation in stock returns. We find …

managers are risk averse, they might underinvest when firm-specific uncertainty increases, leading to suboptimal investment …

We propose a novel approach to estimate household income uncertainty at various future horizons and characterize how … the estimated uncertainty evolves over the life cycle. We measure income uncertainty as the variance of linear forecast …