an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …

activity to a financial uncertainty shock during the great recession. We replicate this evidence with an estimated DSGE … real activity of an uncertainty shock under different Taylor rules estimated with normal times vs. great recession data … (the latter associated with a stronger response to output). We find that the uncertainty shock-induced output loss …

policy is purely to stabilize output or debt volatility, then our results suggest substantial reductions can be obtained …, especially with respect to output. In stark contrast, however, a formal general equilibrium welfare assessment of the volatility …

returns, debt, and leverage. The regime-switching generates i) multimodal distributions of the variables above; ii) time …-varying levels of volatility and skewness for the same variables; and iii) supercycles of borrowing and deleveraging. All of these …

. We document two new facts using VAR methods. First, a (positive) shock to future TFP generates a significant decline in …