rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more …Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramírez and Martín Uribe (2011) find that risk … than doubles. Hence, risk matters more in the recalibrated model. However, the recalibrated model does worse in capturing …

This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

and, using a spread decomposition, we identify information risk as the largest component of illiquidity. Information costs … following the peak of the panic. Notably, market illiquidity risk is priced in the cross section of stock returns. Thus, our …

can undertake an active portfolio management strategy by investing in both risk-free and risky assets. Using a two … in each period. -- Consumption and labor taxation ; equivalence ; risk …

-probability extreme events on environmental policy in a continuous-time real options model with "tail risk". In a nutshell, our results … indicate the importance of tail risk and call for foresighted pre-emptive climate policies. -- climate policy ; extreme events …

exert a large and persistent effect on the volatility of stock returns of acquirers and that this response is crucially … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …