their empirical counterparts. Our findings suggest that time-varying disaster risk and the many types of uncertainty shocks …Various types of uncertainty shocks can explain many phenomena in macroeconomics and finance. But does this just amount … three conceptually distinct fluctuations, all called uncertainty shocks, have a common origin. Specifically, we propose a …

financial frictions. An increase in uncertainty about profits lowers stock prices and leads firms to substitute away from debt …-Switching VAR representation of the model, while preserving the effect of uncertainty shocks on the time variation in the equity …

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with …We study the pricing of uncertainty shocks using a wide-ranging set of options that reveal premia for macroeconomic … risks. Portfolios hedging macro uncertainty have historically earned zero or even significantly positive returns, while …

We study the effects of uncertainty on time use and their macroeconomic implications. Employing data from the American … Time Use Survey and the Bureau of Labor Statistics, we document that heightened uncertainty increases housework and reduces …. However, it also reduces aggregate demand, ultimately amplifying uncertainty's recessionary impact. Time reallocation can lead …

This review article tries to answer four questions: (i) what are the stylized facts about uncertainty over time; (ii …) why does uncertainty vary; (iii) do fluctuations in uncertainty matter; and (iv) did higher uncertainty worsen the Great … Recession of 2007-2009? On the first question both macro and micro uncertainty appears to rise sharply in recessions. On the …

This paper studies the cyclical nature of individual income risk using a confidential dataset from the U.S. Social … average earnings (which is not the case during expansions). Finally, we find that the cyclical nature of income risk is …

growth and real exchange rate changes, a key measure of international risk-sharing …

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 …