prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated … effects. Instead, the evidence points to a direct effect on investors' risk-taking capacity. Our findings show that a …

data on stock market levels and volatility as proxies for the first and second moments of business conditions. We then use …

show that IDT activity reduces bid ask spread and increases intra-day volatility and total volume traded. The volume traded …

find that policy uncertainty raises stock price volatility and reduces investment and employment in policy …

We present a dynamic two-country model in which military spending, geopolitical risk, and government bond prices are …

shocks using methods from the news shocks literature, the analysis finds that innovations in realized stock market volatility … economy. Moreover, investors have historically paid large premia to hedge shocks to realized but not implied volatility. A … model in which fundamental shocks are skewed left can match those facts. Aggregate volatility matters, but it is the …

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 …

relation has roots in fundamentals as higher market risk predicts greater idiosyncratic earnings volatility and as firm …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

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