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 …

, arises because these models load all uncertainty onto the supply side of the economy. We propose a simple theory of asset … pricing in which demand shocks play a central role. These shocks give rise to valuation risk that allows the model to account …

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 …

asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal …

dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational … risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor … and a riskless asset. In general, however, the simple risk/return model of Merton (1980) explains very little of the yield …

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) …

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 …