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 …

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

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 …

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 …

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 …

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 …

At the zero lower bound, the central bank's inability to offset shocks endogenously generates volatility. In this …-contingent optimal monetary and fiscal policies can attenuate this endogenous volatility by stabilizing the distribution of future … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility …