This paper shows how uninsurable unemployment risk is crucial to qualitatively and quantitatively match macro responses … behaviors, triggering a fall in aggregate demand and supply. These precautionary behaviors increase the unemployment risk of the … imperfectly insured households, who strengthen precautionary saving. When the feedback loop between unemployment risk and …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …