We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of … find that all four sectors have become highly interrelated over the past decade, increasing the level of systemic risk in … of market dislocation, and systemic risk arises from a complex and dynamic network of relationships among hedge funds …

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

We develop an asset-pricing model with endogenous corporate policies that explains how inflation jointly impacts real … asset prices and corporate default risk. Our model includes two empirically grounded nominal frictions: fixed nominal … when inflation falls. An increase in inflation has opposite effects, but with smaller magnitudes. In the cross section, the …

institutions facing the same uncertainty. This is due to an option value of rent-seeking whereby the prospect of potentially … assumptions: Economic risk is high relative to political risk, markets are sufficiently incomplete, and there exists a rent …

This paper presents a model of monetary policy in which a rise in inflation raises uncertainty about future inflation …. When inflation is low, there is a consensus that the monetary authority will try to keep it low. When inflation is high …

representation found by Nelson and Plosser (1980) to be consistent with U. S. historical data. The impact of inflation uncertainty on … hypothesis that the initial positive real impact of anticipated money is not temporary. Inflation uncertainty is found to act as …