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 …

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

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of the financial system conditional on … institutions being under distress. We define an institution's contribution to systemic risk as the difference between CoVaR … leverage, size, and maturity mismatch predict systemic risk contribution. We also provide out of sample forecasts of a …

uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our …

The volatility of economic activity in most G7 economies has moderated over the past forty years. Also, despite large … the exception of Japan, the widespread reduction in volatility is in large part associated with a reduction in the …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical …

. A novel channel of risk sharing of volatility risks can explain our empirical findings …We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks … to macroeconomic aggregates, equity prices, and currencies. An increase in country's output volatility is associated with …

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 …

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 …