studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

enough to approximate Kahnenman and Tversky's prospect theory and that for certain parametric values will yield the expected …

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 … role for "good uncertainty". Options for nonfinancials are particularly important for spanning macro risks and good …

-run concept like the natural rate of unemployment. We examine what effect uncertainty has on the use of NAIRU in policy …. Uncertainty about the level of NAIRU does not imply that monetary policy should react less to the NAIRU gap. However, uncertainty … Brainard (1967), uncertainty about the effect of the monetary policy instrument on the NAIRU gap reduces the magnitude of the …

objective in this paper is to understand how fundamental uncertainty can affect the long run growth rate, and what are the … when we move from a world of perfect certainty to one with uncertainty that resembles the average uncertainty in a large …

Swiss franc assets, together with the US stock market. The model is estimated constraining risk premia to depend on the time … variances cannot explain the observed time-variation of risk premia. Furthermore, the constraints imposed by the static CAPH are …

.S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts …

We introduce a simple, easy to implement instrument for jointly eliciting risk and ambiguity attitudes. Using this … significantly overstated when risk neutrality is assumed. This highlights the interplay between risk and ambiguity attitudes as well …

This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009. The … long-run risk models perform relatively well on the momentum effect. A cointegrated version of the model outperforms the … 1990s. When we restrict the risk premiums to identify structural parameters, this results in larger average pricing errors …