, since retrading allows partial insurance of idiosyncratic risk in an incomplete markets setting. This lowers the issuers … idiosyncratic risk rises during recessions, so does the value of the service flows bestowing the safe asset with a negative ß. This …

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 …

real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this … estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a … shock to be able to explain about 60% of the output loss in the 2008-2014 period. The same estimated model unveils the role …

income risk and taxes. We find that adding data on inequality does not materially change the estimated shocks and frictions …

endogenous aggregate risk. This risk induces an endogenous regime-switching process for output, the risk-free rate, excess …

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