relative risk aversion. High stock-price volatility can be explained by incorporating time-varying long-run growth rates and …

, including the average equity premium and the volatility of equity returns. We construct a model with RE (temporary and permanent … parts) and LRR (including stochastic volatility) and estimate this model with long-term data on aggregate consumption for 42 … economies. RE typically associates with major historical episodes, such as the world wars and the Great Depression and analogous …

evidence for changes in persistence and in volatility of price across three well defined periods. We argue that historically …, the real price of oil has tended to be highly persistent and volatile whenever rapid industrialization in a major world … account for the increased volatility of oil price we observe in these periods …

market in a general-equilibrium model of the world economy. We analyze the impact of the advent of fracking on the volatility …We use a new micro data set that covers all oil fields in the world to estimate a stochastic industry-equilibrium model … 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 … shocks if it ties the hands of policy makers. But any decision to forsake exchange-rate flexibility might compromise shock … absorption in a world of real shocks and nominal stickiness. A simple model shows how a lack of flexibility can be discerned in …

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

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 …

produces roughly 40% of the world's corn. A heat wave in July adversely affected corn production. We extend earlier statistical …

explaining the surge and reversal in capital flows. In particular, the sharp increase in stock market volatility in the major …