We examine the impact of the global economic activity, oil supply, oil-specific consumption demand, and oil inventory demand shocks on the expected aggregate skewness of the United States (US) economy, obtained based on a data-rich environment involving 211 macroeconomic and financial variables...

A safe asset's real value is insulated from shocks, including declines in GDP from rare macroeconomic disasters. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of safe assets. Therefore, in the equilibrium of a...

A safe asset is one whose real value is insulated from shocks, including declines in GDP associated with rare macroeconomic disasters. However, in a Lucas-tree world, the aggregate risk is given by the specified process for GDP and cannot be altered by the creation of safe assets. Therefore, in...