We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for …

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of …

The growth-at-risk (GaR) framework links current macrofinancial conditions to the distribution of future growth. Its … GaR analysis, policymakers can quantify the likelihood of risk scenarios, which would serve as a basis for preemptive …

This paper uses the Growth-at-Risk (GaR) methodology to examine how macrofinancial conditions affect the growth outlook …

the world, (ii) invest in foreign assets, and (iii) receive foreign direct investment (FDI). The model is calibrated on 32 …

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …

been used by policymakers and regulators to assess the market risk environment. This paper applies a market volatility …Financial decisions of economic agents are based on volatility considerations. However, no aggregate indicators have … indicator to analyze the Israeli''s transition toward inflation targeting. Unlike conventional measures of volatility, it shows …

We study whether clarity of central bank inflation reports affects return volatility in financial markets. We measure … relationship between clarity and market volatility prior to and during the early stage of the global financial crisis. As the …

The literature on leverage until now shows how an increase in volatility reduces leverage. However, in order to explain … pro-cyclical leverage it assumes that bad news increases volatility. This paper suggests a reason why bad news is more … often than not associated with higher future volatility. We show that, in a model with endogenous leverage and heterogeneous …