serial correlation in the univariate exchange rate processes. We apply the technique to a panel of bilateral U.S. dollar …

This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic … downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension … reduction estimators for constructing systemic risk indexes from the cross section of measures and prove their consistency in a …

parameter estimates, especially those that affect the risk of a black swan, explain most of the shocks to uncertainty. …A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns, business cycles and … financial crises. The literature equates uncertainty shocks with changes in the variance of an innovation whose distribution is …

uncertainty about risk tomorrow. This dynamic mapping of risk into itself gives rise to the possibility of multiple equilibria and …Recent crises have seen very large spikes in asset price risk without dramatic shifts in fundamentals. We propose an … explanation for these risk panics based on self-fulfilling shifts in risk made possible by a negative link between the current …