shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility … economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A … model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the …

volatility of risk-free rates. We propose a model that is immune to these critiques and solves this puzzle by allowing for …Recent critiques have demonstrated that existing attempts to account for the unemployment volatility puzzle of search … preferences that generate time-varying risk over the cycle, and so account for observed asset pricing fluctuations, and for human …

parameter estimates, especially those that affect the risk of a black swan, explain most of the shocks to uncertainty …

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with … a simple extension of the long-run risk model …

their empirical counterparts. Our findings suggest that time-varying disaster risk and the many types of uncertainty shocks …

activity and inflation as latent variables. We incorporate these latent variables into a factor-augmented vector autoregression … activity and inflation, consistent with previous studies. In contrast to much of the literature, however, we find that central …-bank-determined changes in Chinese interest rates also have substantial impacts on economic activity and inflation, while other measures of …

inflation rate is -.17. The corresponding correlation for the period 1950 to 1979 is .71. Inflation evolved from essentially a … stochastic process of inflation, rather than a change in any structural relationship between nominal rates and expectedi nflation …. I find little evidence of inflation non-neutrality in data from the gold standard period.This contradicts the conclusion …

-order effect on their dynamics. The data favors a model with two unspanned volatility factors that capture uncertainty about … react in opposite directions to a shock to the real economy, and the response of inflation to uncertainty shocks vary across …

This paper develops two models, one involving risk neutrality and the other risk aversion, which suggest that inflation … evidence supports the hypothesis that inflation uncertainty affects interest rates. Interpreted in terms of the risk neutral … positive impact on the expected real rate. If the results are interpreted in terms of the risk averse model, inflation …