upward movements in realized market return volatility. Common wisdom connects these spikes with elevated uncertainty on … state variables and parameters. I show that infrequent, large and relatively transitory macroeconomic uncertainty shocks …, the onset of the second Gulf War, and the great financial crisis of 2008-2009. I compute macroeconomic uncertainty as the …

This paper investigates whether central banks can attenuate excessive mispricing in stocks as suggested by the … component, a risk premium, and a mispricing component. We argue that mispricing can arise for two reasons: (i) from false … policy shock is ambiguous in both the short- and long-run, and depends on the nature of the mispricing. Subsequently, we …

indicate that volatility is not related to the evolution of jumps but the uncertainty about volatility is. More uncertainty … positive price jumps are less likely. We highlight the unique information content in volatility uncertainty and further show …

-sectional analysis is robust to the inclusion of uncertainty indexes, as well as macroeconomic and volatility measures …