of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. The lower … that is weaker in high volatility periods. To rationalize our robust empirical results, we use a macroeconomic model in … volatility of aggregate shocks. In low volatility periods, banks lever up, which makes their balance sheets more sensitive to …

rank estimation method via sequential testing. For a class of stochastic volatility models, we determine data …

econometric learning scheme as proposed by Laubach, Tetlow, and Williams (2007) in the estimation and compare the results to those … of an estimation without discounting. In- and out-of-sample performance indicates that the agents are more inclined to …