shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business … risk of disaster does not affect the path of macroeconomic aggregates - a "separation theorem" between macroeconomic … variation in risk premia over time, are observationally equivalent to preference shocks. An increase in the perceived …

fit the model to US data, allowing the volatility of cross-sectional idiosyncratic uncertainty to fluctuate over time. We … refer to this measure of volatility as 'risk'. We find that fluctuations in risk are the most important shock driving the …

We provide a continuous-time “risk-centric” representation of the New Keynesian model, which we use to analyze the …

This paper studies the aggregate implications of imperfect risk-sharing implied by a class of New Keynesian models with … idiosyncratic income risk and incomplete financial markets. The models in this class can be equivalently represented as an economy … representative-agent economy to perform counterfactuals. We find that deviations from perfect risk-sharing were an important …

Uncertainty about the future rises in recessions. But is uncertainty a source of business cycles or an endogenous … response to them, and does the type of uncertainty matter? We propose a novel SVAR identification strategy to address these … questions via inequality constraints on the structural shocks. We find that sharply higher macroeconomic uncertainty in …

unconditional cross-sectional moments of household consumption growth and the moments of the risk-free rate, equity premium, price …-dividend ratio, and aggregate dividend and consumption growth. The model-implied risk-free rate and price-dividend ratio are … procyclical while the market return has countercyclical mean and variance. Finally, household consumption risk explains the cross …

We investigate the relationship between uncertainty about monetary policy and its transmission mechanism, and economic …-order effect on their dynamics. The data favors a model with two unspanned volatility factors that capture uncertainty about … monetary policy and the term premium. Uncertainty contributes negatively to economic activity. Two dimensions of uncertainty …

This paper studies the business-cycle variation in higher-order (labor) income risk—that is, risks that are captured by … consumption-equivalent terms for Sweden (for which we are able to perform this calculation). However, the remaining risk (in …

of higher-order uncertainty. This makes room for forces akin to animal spirits even when the equilibrium is unique. It …