This paper analyzes the impacts of news shocks on macroeconomic volatility. Whereas in any purely forward-looking model …, such as the baseline New Keynesian model, anticipation amplifies volatility, we obtain ambiguous results when including a …) to provide numerical evidence that news shocks increase the volatility of key macroeconomic variables in the euro area …

This paper analyzes the impacts of news shocks on macroeconomic volatility. Whereas anticipation amplifies volatility …) to provide numerical evidence that news shocks increase the volatility of key macroeconomic variables in the euro area …

period ahead; in the Volatility treatment, we also elicit subjective confidence intervals of forecasts, which we take as a … measure of perceived volatility. The realized asset price is derived from a Walrasian market equilibrium equation with non …-linear feedback from individual forecasts. Our experimental markets exhibit high volatility, fat tails and other properties typical of …

intermediary data reveal economically large price pressures. A $100,000 inventory shock causes an average price pressure of 0 ….28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

money demand falls, while a positive goods productivity shock raises temporary output and velocity. The paper explains such … velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during … important for velocity during less stable times and the goods productivity shock more important during stable times. …

differences of opinion is left, and hence volatility is decreased. …

intrinsic and extrinsic uncertainty are derived from firms? daily stock returns and S&P 500 index returns along with a CAPM …. Financial frictions captured by interactions between firms? cash flow and both intrinsic and CAPM-based measures of uncertainty …

equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information … are obtained and applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of …

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean …(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable … Stochastic Volatility (SV)model. However, efficient Monte Carlo simulationmethods for SV models have been developed to overcome …