-side uncertainty. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and business cycle … fluctuations. Both demand-side and supply-side uncertainty imply large contractions in real activity and an increase in term premia …, but supply-side uncertainty has larger effects on inflation and investment. We introduce a novel analytical decomposition …

Uncertainty appears to jump up after major shocks like the Cuban Missile crisis, the assassination of JFK, the OPEC I … uncertainty shocks. I build a model with a time varying second moment, which is numerically solved and estimated using firm level … data. The parameterized model is then used to simulate a macro uncertainty shock, which produces a rapid drop and rebound …

monetary policy. The theory unifies an endogenous supply of illiquid local loans and risk-sharing among subsidiaries of bank …

their risk assessments and outcomes to those from a simple methodology that relies on publicly available market data and … market data; (iii) This discrepancy arises due to the reliance on regulatory risk weights in determining required levels of … capital once stress-test losses are taken into account. In particular, the continued reliance on regulatory risk weights in …

uncertainty, and subjective uncertainty in business expectation surveys – that provide real-time forward-looking uncertainty … measures. We use these indicators to document and quantify the enormous increase in economic uncertainty in the past several … crisis. Specifically, we feed COVID-induced first-moment and uncertainty shocks into an estimated model of disaster effects …

We develop new economic policy uncertainty (EPU) indices for Japan from January 1987 onwards, building on the approach … pertaining to the economy, policy matters, and uncertainty. Our overall EPU index co-varies positively with implied volatilities … for Japanese equities, exchange rates and interest rates and with a survey-based measure of political uncertainty. The EPU …

This paper documents two COVID-related risks, viral risk and employment risk, and their distributions across the … Canadian population. The measurement of viral risk is based on the VSE COVID Risk/Reward Assessment Tool, created to assist … women are more concentrated in high viral risk occupations and that this is the source of their greater employment loss over …