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 …

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 …

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 …

cycle volatility (the "great moderation") and the large and persistent US external imbalance. In this paper we argue that an … external imbalance is a natural consequence of the great moderation. If a country experiences a fall in volatility greater than … cannot perfectly insure against. The model suggests that a fall in business cycle volatility like the one observed for the US …

This paper investigates the sources of the widely noticed reduction in the volatility of American business cycles since … the mid 1980s. Our analysis of reduced volatility emphasizes the sharp decline in the standard deviation of changes in … reduced variance of shocks was the dominant source of reduced business-cycle volatility. Supply shocks accounted for 80 …