uncertainty is time-varying, and (2) countries have heterogeneous exposures to a world aggregate shock. We embed these features in …

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 …

We inject aggregate uncertainty - risk and ambiguity - into an otherwise standard business cycle model and describe its … consequences. We find that increases in uncertainty generally reduce consumption, but they do not account, in this model, for …

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 …

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 …

games, beauty contests, and their applications. We elaborate on the distinct effects of strategic uncertainty relative to … fundamental uncertainty. We demonstrate the potential fragility of workhorse macroeconomic models to relaxations of common …

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 …

parameter estimates, especially those that affect the risk of a black swan, explain most of the shocks to uncertainty …A fruitful emerging literature reveals that shocks to uncertainty can explain asset returns, business cycles and … financial crises. The literature equates uncertainty shocks with changes in the variance of an innovation whose distribution is …

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 …

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 …