The large asset price jumps that took place during 2008 and 2009 disrupted volatility derivatives markets and caused …

Shocks to equity options' ATM implied volatility (ATMIV) are followed by persistently lower short-term rates. Shocks to …

Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices … and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide … become illiquid and the optimal strategy blends both dynamic and buy-and-hold strategies. Jumps in prices and volatility both …

market in a general-equilibrium model of the world economy. We analyze the impact of the advent of fracking on the volatility … of oil prices. Our model predicts a large decline in this volatility …

Did adoption of the gold standard exacerbate or diminish macroeconomic volatility? Supporters thought so, critics … thought not, and theory offers ambiguous messages. A hard exchange-rate regime such as the gold standard might limit monetary … shocks if it ties the hands of policy makers. But any decision to forsake exchange-rate flexibility might compromise shock …

At the zero lower bound, the central bank's inability to offset shocks endogenously generates volatility. In this …-contingent optimal monetary and fiscal policies can attenuate this endogenous volatility by stabilizing the distribution of future … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility …

-decreasing volatility in output and employment. We refer to the latter type of equilibria as expectation traps. In effect, our paper …