increase in systematic risk …

-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 …

Makroökonomische Theorie und Politik von Professor Dr. Wilfried Fuhrmann an der Universität Potsdam. Seit 2011 ist er am Lehrstuhl für …

literature dealing with macroeconomic consequences of microeconomic risk management. This book is concerned with the impact of …

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 …