In this paper we study 2-state Markov switching VAR models of monthly unemployment and inflation for three countries … with high or low unemployment volatility. We find that MS-VAR models seem to provide a better description of the data than … variance in unemployment. In the U.S. case we find that the variance of unemployment is lower in the low inflation regime than …

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 evaluate the welfare performance of a target for the level of nominal GDP in a New Keynesian model with unemployment …

Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a …