volatility is as important as time variation in bond Sharpe ratios. (3) Bond risk premia are solely compensation for bond risk …Studies of the dynamics of bond risk premia that do not account for the corresponding dynamics of bond risk are hard to … interpret. We propose a new approach to modeling bond risk and risk premia. For each of the US and China, we reduce the …

We examine the effect of uncertainty on foreign direct investment inflows for a heterogeneous sample of advanced … for both global and local factors, we find policy uncertainty has discernable and significant effects on inflows, but … uncertainty that seems to matter the most, but rather global uncertainty. Additionally, we find that high levels of uncertainty …

computationally costly GMM estimator in many cases. We apply our procedure to a large panel of return predictors and find that it … mean imputations and weighted least squares, cast in a generalized method of moments (GMM) framework. This method allows us …

decisions and time, and also empirically for a panel of manufacturing firms. These cautionary effects of uncertainty are large …This paper shows that, with (partial) irreversibility, higher uncertainty reduces the impact effect of demand shocks on … investment. Uncertainty increases real option values making firms more cautious when investing or disinvesting. This is confirmed …

explains both persistence and volatility of the good-level real exchange rates. Furthermore, our framework allows for multiple … cities within a country. Using a panel of U.S.-Canadian city pairs, we estimate a dynamic price adjustment process for each …

between firm and wage volatility, we investigate the linkage in three complementary panel data sets, each with its own virtues … recent rise in transitory fluctuations in compensation and investigates its linkage to the concurrent rise in volatility of … and limitations: the Panel Study of Income Dynamics (detailed information on workers, but no information on employers …

We analyze an environment where the uncertainty in the equity market return and its volatility are both stochastic, and … earned for facing uncertainty, especially high uncertainty that is disconnected from lower volatility, rather than for facing … volatility as traditionally assumed. Incorporating the possibility of a disconnect between volatility and uncertainty …

We propose a comprehensive measure of systematic risk for corporate bonds as a nonlinear function of robust risk … factors and find a significantly positive link between systematic risk and the time-series and cross-section of future bond … returns. We also find a positive but insignificant relation between idiosyncratic risk and future bond returns, suggesting …

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 …

Using new employer-employee matched data, this paper investigates the impact of uncertainty, as measured by … idiosyncratic stock market volatility, on individual outcomes. We find that firms provide at best partial insurance to their workers …. An increase in firm-level uncertainty is associated with a decline in total compensation, especially in variable pay. In …