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 …

uncertainty. The results dictate the role of uncertainty and volatility in structural models and we show they are consistent with … a simple extension of the long-run risk model …

, measures of conditional mean and conditional volatility--and ultimately the risk-return relation itself--will be misspecified … that three new factors, a "volatility," "risk premium," and "real" factor, contain important information about one …A key criticism of the existing empirical literature on the risk-return relation relates to the relatively small amount …

their empirical counterparts. Our findings suggest that time-varying disaster risk and the many types of uncertainty shocks …

At the zero lower bound, the central bank's inability to offset shocks endogenously generates volatility. In this …-contingent optimal monetary and fiscal policies can attenuate this endogenous volatility by stabilizing the distribution of future … outcomes. Fluctuations in uncertainty and the zero lower bound help our model match the unconditional and stochastic volatility …

volatility and growth. We first develop a simple growth model where firms engage in two types of investment: a short-term one and … procyclical return but also a higher liquidity risk. Under complete financial markets, long-term investment is countercyclical …, thus mitigating volatility. But when firms face tight credit constraints, long-term investment turns procyclical, thus …

volatility of economic fluctuations. In a sample of 92 countries as well as a sample of OECD countries, we find that countries … with higher volatility have lower growth. The addition of standard control variables strengthens the negative relationship …. We also find that government spending-induced volatility is negatively associated with growth even after controlling for …

part channeled into foreign assets. We conclude that both data and theory suggest uncertainty/volatility is an important …Does macroeconomic volatility/uncertainty affects accumulation of net foreign assets? In OECD economies over the period … 1970-2012, changes in country specific aggregate volatility are, after controlling for a wide array of factors …