In this paper we study the impact of shocks to global risk and global risk aversion (such as Lehman) as well as shocks … securities which are consistently safe haven assets, namely experiencing portfolio inflows when risk is on the rise or perceived … in certain risk measures. We also find that the role of US-based crises and risk shocks is special, with the US not …

In this paper we investigate the effects of uncertainty shocks on economic activity in the euro area by using a Dynamic … credit supply amplify the effects of uncertainty shocks on economic activity. This amplification channel stems mainly from …

What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline … in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In … response to un-certainty shocks, firms increase their markups, in line with the theory of self-insurance against being stuck …

from Europe, the US and Japan. The model is used to conduct systematic shock simulations and thereby compute a measure of …

We explore a view of the crisis as a shock to investor sentiment that led to the collapse of a bubble or pyramid scheme …

data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature …. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE … contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates …

eurozone. My results also suggest that these shocks are a plausible source of aggregate risk that could explain business cycle …

aggregate risk and smooth consumption through savings and consumer loans intermediated by banks. The banking friction introduces …

the behavior of trade in exceptional circumstances may still be poorly understood. This paper explores whether uncertainty … shocks have explanatory power for movements in trade. VAR estimations on United States data suggest that domestic uncertainty … estimates a bilateral model with focus on the impact of importer uncertainty on foreign suppliers. It finds that there is a …

This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a … structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil … demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial …