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 …

mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can …

financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run … significance levels, and they can track quite closely a new measure of realized annual volatility. Further scrutiny using a rich …

-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 … times larger. We show in an extension that Bayesian learning about stochastic volatility is faster for bad states than good …

correlated, contrary to what theory suggests - for eight advanced country exchange rates against the US dollar, over the period …

market? Despite their fundamental importance, these questions are among the most controversial issues in finance. In this …, 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 …

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 …

The treatment of the stock market in finance and macroeconomics exemplifies many of the important differences in … perspective between the two fields. In finance, the stock market is the single most important market with respect to corporate … cost of capital, and hence,investment. In this connection, we review the empirical success of the Q theory of investment …