In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …

mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …

This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces … volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy … price volatility …

role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …

We use the founding of the Federal Reserve as a historical experiment to provide some insight into whether a lender of … financial stringency from the harvest season, with the rest of the year during the period 1870-1925. Stock volatility in the … period (1870- May 1908). We also find that the volatility of the call loan rate declined nearly 70 percent in September and …

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