We reconsider the empirical links between volatility and growth between 1970 and 2007. There is a strong and … their economies. The amount of volatility driven by these external factors is highly correlated, cross-sectionally, with the … overall amount of volatility in GDP growth. There is also a strong correlation between a country's average growth rate and the …

data on stock market levels and volatility as proxies for the first and second moments of business conditions. We then use …

inflation process is well described by an unobserved component trend-cycle model with stochastic volatility or, equivalently, an …Forecasts of the rate of price inflation play a central role in the formulation of monetary policy, and forecasting … inflation is a key job for economists at the Federal Reserve Board. This paper examines whether this job has become harder and …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

growth and real exchange rate changes, a key measure of international risk-sharing …

volatility shocks is consistent with the empirical evidence. Furthermore we show that risk factors and interest-rate smoothing … appreciates in the medium run, while an increase in the volatility of productivity leads to a dollar depreciation. We propose a …

explains the negative relation between idiosyncratic volatility (IVOL) and average return. The IVOL effect is negative among …

strategy portfolio. The other half is due to a hidden risk factor, likely related to funding liquidity identified in Asness et …

We estimate the volatility of plant-level idiosyncratic shocks in the U.S. manufacturing sector. Our measure of … volatility is the variation in Revenue Total Factor Productivity which is not explained by either industry- or economy … cross-sectoral variation in the volatility of shocks is remarkable. Plants in the most volatile sector are subject to about …

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 … turns out to be crucial to the model's ability to explain both equity volatility and option prices. We explore different …