In affine asset pricing models, the innovation to the pricing kernel is a function of innovations to current and expected future values of an economic state variable, for example consumption growth, aggregate market returns, or short-term interest rates. The impulse response of this priced...

This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension reduction estimators for constructing systemic risk indexes...

We study the pricing of uncertainty shocks using a wide-ranging set of options that reveal premia for macroeconomic risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while those exposed to the realization of large shocks have earned...

Generational policy is a fundamental aspect of a nation's fiscal affairs. The policy involves redistributing resources across generations and allocating to particular generations the burden of paying the government's bills. This chapter of the second edition of The Handbook of Public Economics...

The theoretical literature presumes generational risk is large enough to merit study and that such risk can be meaningfully shared via appropriate government policies. This paper assesses these propositions. It develops an 80-period OLG model to directly measure generational risk and the extent...

The 2015 Paris Accord is meant to control our planet's rising temperature. But it may be doing the opposite in gradually, rather than immediately reducing CO2 emissions. The Accord effectively tells dirty-energy producers to "use it or lose it." This may be accelerating their extraction and...

Will smart machines do to humans what the internal combustion engine did to horses – make them obsolete? If so, can putting people out of work or, at least, good work leave them unable to buy what smart machines produce? Our model's answer is yes. Over time and under the right conditions,...