setting, an increase in uncertainty about future shocks causes significant contractions in the economy and may lead to non … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility …

the mean and volatility of equity returns. Our model assumes a small risk of a rare disaster that is calibrated based on … the international data on large consumption declines. We allow the risk of this rare disaster to be stochastic, which …

In this research, we provide new empirical evidence on the importance of time-varying uncertainty for the exchange rate … and the excess return in currency markets. Following an increase in monetary policy uncertainty, the dollar exchange rate … general-equilibrium theory of exchange rate determination based on the interaction between monetary policy and time …

larger than aggregate random disturbances, accounting for about 80% of the overall uncertainty faced by plants. The extent of … six times as much idiosyncratic uncertainty as plants in the least volatile. We provide evidence suggesting that … idiosyncratic risk is higher in industries where the extent of creative destruction is likely to be greater …

and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical …

continue to hold even if the coefficient of relative risk aversion approaches zero (that is, even if the marginal utility of … income is constant so that agents are risk neutral in the conventional sense) …

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 …

economy tends to damage risk sharing when the composition of collateral is biased toward private assets. As we show that a … stable economy is more propitious to the creation of private collateral, stability makes risk sharing increasingly fragile to … risk sharing to aggregate volatility as predicted by our model …

We study the effects of changes in uncertainty about future fiscal policy on aggregate economic activity. Fiscal … consolidation inevitable, there is considerable uncertainty about the policy mix and timing of such budgetary adjustment. To … evaluate the consequences of this increased uncertainty, we first estimate tax and spending processes for the U.S. that allow …