that the represenative consumer changes savings in response to temporary deviations of income from its stochastic trend …

refer to this measure of volatility as 'risk'. We find that fluctuations in risk are the most important shock driving the …

shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business … risk of disaster does not affect the path of macroeconomic aggregates - a "separation theorem" between macroeconomic … variation in risk premia over time, are observationally equivalent to preference shocks. An increase in the perceived …

We provide a continuous-time “risk-centric” representation of the New Keynesian model, which we use to analyze the …

This paper studies the aggregate implications of imperfect risk-sharing implied by a class of New Keynesian models with … idiosyncratic income risk and incomplete financial markets. The models in this class can be equivalently represented as an economy … representative-agent economy to perform counterfactuals. We find that deviations from perfect risk-sharing were an important …

unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price …-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are … procyclical while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross …

This paper studies the business-cycle variation in higher-order (labor) income risk—that is, risks that are captured by … consumption-equivalent terms for Sweden (for which we are able to perform this calculation). However, the remaining risk (in …