consumption and leisure. Output volatility is comparable with a rational expectations analysis with a standard deviation of … technology shock that is 20 percent smaller, and has substantially more volatility in investment and hours. Persistence in these …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can … account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …

choices matter for output volatility and the medium-term level of inflation. Greater monetary independence is associated with … lower output volatility while greater exchange rate stability implies greater output volatility, which can be mitigated if a … inflation rate. We find that trilemma policy configurations and external finances affect output volatility through the …

growth and real exchange rate changes, a key measure of international risk-sharing …

MBS earn risk premia as compensation for their exposure to prepayment risk. We measure prepayment risk and estimate … security risk loadings using real data on prepayment forecasts vs. realizations. Estimated loadings are monotonic in securities … investors. In particular, we find convincing evidence that prepayment risk prices change sign over time with the sign of a …

-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices …This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity …, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor …

increase in total volatility led to a significant increase in market risk (beta) for the multinational firms relative to the … the relation between exchange rate variability and stock return volatility and by decomposing this relation into … components of systematic and diversifiable risk. Focusing on two periods around the 1973 switch from fixed to floating exchange …