studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

The paper illustrates how one may assess our comprehensive uncertainty about the various relations in the entire chain ….5 deg;C. The 99 percent confidence interval ranges from 3.0 deg;C to 6.9 deg;C. Uncertainty about socio-economic drivers of … climate change lie behind a non-trivial part of this uncertainty about global warming …

, 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 …

towards risk. We find that the uncertainty associated with anthropogenic climate change imply carbon taxes much higher than …There is great uncertainty about the impact of anthropogenic carbon on future economic wellbeing. We use DSICE, a DSGE … implied by deterministic models. This analysis indicates that the absence of uncertainty in DICE2007 and similar models may …

uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our … estimates display significant independent variations from popular uncertainty proxies, suggesting that much of the variation in … the proxies is not driven by uncertainty. Quantitatively important uncertainty episodes appear far more infrequently than …

expected exchange rate depreciations (appreciations) for high (low) interest rate currencies, suggesting that disaster risk is … priced in currency markets. To study the price of disaster risk, we propose a simple structural model that includes both … Gaussian and disaster risk and can be estimated even in samples that do not contain disasters. Estimating the model over the …

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 …

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 …