We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for …

. These surprises, which we call "risk shifts", are uncorrelated, and therefore complementary, to risk-free rate surprises. We … show that (i) risk shifts capture the lion's share of stock price movements around FOMC announcements; (ii) that they are …

real-time, Bayesian estimation of a small monetary VAR with time-varying parameters. We use it to calculate the probability …

Using regionally disaggregated data on economic activity, we show that risk sharing plays a key role in shaping the … real effects of monetary policy. With weak risk sharing, monetary policy shocks trigger a strong and durable response in … output. With strong risk sharing, the response is attenuated, and output reverts to its initial level over the medium term …

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …