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

the near future. The research finds no evidence of large differences in the patterns of risk sharing for the 19 OECD … between the euro-area and the successful monetary union of the USA: the euro-area showed a much lower insurance of asymmetric …

macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

We study a new model to study the effect of contract externalities that arise through shock transmission. We model a … efficient ones. We also study extensions with heterogenous “bad risks,” with diversity in the costs to good risk firms of …

stronger than that of the long end (i.e., of long term ones). In other words, a financial uncertainty shock causes a temporary … recovery in real activity after a financial uncertainty shock. …

estimate the median to lie too close to the distribution's center. The observed bias in expectations is irrespective to risk …

the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …