financial volatility. Uncertainty shocks hitting in recessions are found to trigger a more abrupt drop and a faster recovery in …

slow down and contract. In this paper, we study the interrelation between financial markets volatility and economic … common factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, we … show analytically that volatility is forward looking and that the output equation of a typical VAR estimated in the …

. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a "real" and a …-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of …

firms can observe each other's decisions, they are able to increase the accuracy of their actions. While reducing volatility … at the individual level, social learning may lead to an increase in volatility at the aggregate level depending on the … network topology. Moreover, if the network is very asymmetric, aggregate volatility does not decay as predicted by the law of …

We investigate the sources of the great changes in GDP volatility observed from 1966 to 2000. We develop a general …-sectoral linkages and households' behavior to aggregate volatility. Our results show that changes in sectoral volatility played an … important role in shaping volatility at the aggregate level. Moreover, asymmetries in the economic structure sometimes had an …