Stock return volatility during the Great Depression has been labeled a "volatility puzzle" because the standard …, and Jones; 1990). We investigate the "volatility puzzle" using a new series of building permits, a forward-looking measure … of economic activity. Our results suggest that the volatility of building permit growth largely explains the high level …

In line with Keynes' intuition, volatility in the stock market and in real economic activity are linked by expectations …'s excess volatility puzzle with the business cycle …

Recent critiques have demonstrated that existing attempts to account for the unemployment volatility puzzle of search … volatility of risk-free rates. We propose a model that is immune to these critiques and solves this puzzle by allowing for …

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

This paper shows that stock volatility increases during recessions and financial crises from 1834-1987. The evidence … stock volatility, I show that volatility increases after major financial crises. Moreover. stock volatility decreases and … can control stock volatility. The evidence supports the observation by Black [1976] that stock volatility increases after …

We show that volatility movements have first-order implications for consumption dynamics and asset prices. Volatility … news affects the stochastic discount factor and carries a separate risk premium. In the data, volatility risks are … aggregate wealth and the cross-sectional differences in risk premia. Estimation of our volatility risks based model yields an …

According to conventional wisdom, annualized volatility of stock returns is lower when computed over long horizons than …