dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …

uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income …

type of the structural shock of interest. Understanding the response of the risk premium to unexpected changes in the price …This paper provides an analysis of the link between the global market for crude oil and oil futures risk premium at the … aggregate level. It off ers empirical evidence on whether the compensation for risk required by the speculators depends on the …

experiences a shock forcing it to start learning afresh. Firms differ in their information; more informed firms have lower … posterior variances in beliefs. An uncertainty shock is a rise in the probability that any given firm will lose its information … a prolonged recession followed by anemic recovery in response to an uncertainty shock. When confronted with a rise in …