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Implications of macroeconomic volatility in the Euro area
Hauzenberger, Niko; Böck, Maximilian; Pfarrhofer, Michael - 2018
In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent quantity during estimation. Only a limited number of...
Persistent link: https://www.econbiz.de/10011978764
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Structural Uncertainty and the Value of Statistical Life in the Economics of Catastrophic Climate Change
Weitzman, Martin - 2007
Using climate change as a prototype motivating example, this paper analyzes the implications of structural uncertainty for the economics of low-probability high-impact catastrophes. The paper shows that having an uncertain multiplicative parameter, which scales or amplifies exogenous shocks and...
Persistent link: https://www.econbiz.de/10012775805
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Identifying high-frequency shocks with Bayesian mixed-frequency VARs
Paccagnini, Alessia; Parla, Fabio - 2021
Persistent link: https://www.econbiz.de/10012792759
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Global impacts of US monetary policy uncertainty shocks
Lastauskas, Povilas; Nguyen, Anh D. M. - 2020
Persistent link: https://www.econbiz.de/10012416845
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Volatility Risk Pass-Through
Colacito, Ric - 2018
. A novel channel of risk sharing of volatility risks can explain our empirical findings …
Persistent link: https://www.econbiz.de/10012907745
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Asset Prices and Aggregate Demand in a "Covid-19" Shock : A Model of Endogenous Risk Intolerance and Lsaps
Caballero, Ricardo J. - 2020
In this paper we: (i) provide a model of the endogenous risk intolerance and severe aggregate demand contractions … addressing these contractions. The key mechanism stems from heterogeneous risk tolerance: as a recessionary shock hits the … economy and brings down asset prices, risk-tolerant agents' wealth share declines and their leverage rises endogenously. This …
Persistent link: https://www.econbiz.de/10012835752
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International integration, risk and the welfare state
Andersen, Torben M. - 2000
Persistent link: https://www.econbiz.de/10001450634
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Income risk and health
Halliday, Timothy J. (contributor) - 2006
Persistent link: https://www.econbiz.de/10003431958
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How Much Does Household Collateral Constrain Regional Risk Sharing?
Lustig, Hanno N.; Van Nieuwerburgh, Stijn - 2021
, borrowing (risk-sharing) declines, and the sensitivity of consumption to income increases. Our model aggregates heterogeneous …
Persistent link: https://www.econbiz.de/10013239980
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Intermediary Asset Pricing : New Evidence from Many Asset Classes
He, Zhiguo - 2016
classes such as corporate and sovereign bonds, derivatives, commodities, and currencies. Our intermediary capital risk factor … is strongly pro-cyclical, implying counter-cyclical intermediary leverage. The price of risk for intermediary capital …
Persistent link: https://www.econbiz.de/10013000523