parameter estimates, especially those that affect the risk of a black swan, explain most of the shocks to uncertainty …

paper provides a data-disciplined theory of belief formation that explains large fluctuations in uncertainty. It argues that … distribution. Our main contribution is to explain why real-time estimation of distributions with non-normal tails are prone to … large uncertainty fluctuations. We use theory and data to show how small changes in estimated skewness whip around …

parameter estimates, especially those that affect the risk of a black swan, explain most of the shocks to uncertainty …

We embed a news shock, a noisy indicator of the future state, in a two-state Markovswitching growth model. Our … historical periods in which uncertainty and risk premia were elevated because of news shocks. …

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty …