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 …

The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility … volatility estimated from high-frequency data. The puzzle lies in the fact that such an intuitively natural estimate yields …

for time-varying volatility. We then feed these processes into an otherwise standard New Keynesian business cycle model … calibrated to the U.S. economy. We find that fiscal volatility shocks have an adverse effect on economic activity that is …

What fraction of the business cycle volatility of government purchases is accounted for as endogenous reactions to … frictionless version of such a model with aggregate productivity as the sole driving force can explain almost all the volatility of …

appreciates in the medium run, while an increase in the volatility of productivity leads to a dollar depreciation. We propose a … general-equilibrium theory of exchange rate determination based on the interaction between monetary policy and time … volatility shocks is consistent with the empirical evidence. Furthermore we show that risk factors and interest-rate smoothing …

, return volatility, and trading volume in the mortgage-backed security market. We find that increased disagreement is … associated with higher expected returns, higher return volatility, and larger trading volume. These results imply that there is a … positive risk premium for disagreement in asset prices. We also show that volatility in and of itself does not lead to higher …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term equity investor who … volatility. Empirically, we present novel evidence that low-frequency movements in equity volatility, tied to the default spread …

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …