time-series volatility of productivity are also characterized by greater cross-sectional dispersion in productivity …. Volatility in TFP explains one quarter to one third of cross-country productivity dispersion. We document a similar relationship … between productivity volatility and the dispersion of the marginal revenue product of capital (static capital misallocation …

Using new data matching remittances and monthly payroll disbursals, we demonstrate how fluctuations in migrants …' earnings in the United Arab Emirates affect their remittances. We consider three types of income fluctuations that are … observable by families at home: seasonalities, weather shocks and a labor reform. Remittances move with all of these income …

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 …

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

This paper shows how changes in the volatility of the real interest rate at which small open emerging economies borrow … motivate our investigation, we document the strong evidence of time-varying volatility in the real interest rates faced by a … sample of four emerging small open economies: Argentina, Ecuador, Venezuela, and Brazil. We postulate a stochastic volatility …

In this paper we investigate the sources of the important shifts in the volatility of U.S. macroeconomic variables in … the postwar period. To this end, we propose the estimation of DSGE models allowing for time variation in the volatility of … investment specific technology shocks account for most of the sharp decline in volatility of the last two decades …

the volatility of GDP growth at all frequencies. Monetary policymakers looking to a neoclassical model to provide the …

consumption and leisure. Output volatility is comparable with a rational expectations analysis with a standard deviation of … technology shock that is 20 percent smaller, and has substantially more volatility in investment and hours. Persistence in these …