I study the macroeconomic and asset pricing implications of variations in information quality in a real business cycle model. Learning and fluctuating information quality generate changes in the perception of macroeconomic outcomes, but do not modify the distribution of realized shocks. On the...

Recessions lead to substantial, yet not immediate drop in output. The low and often negative growth during recessions is typically followed by a steady recovery with abnormally high growth. We propose a theory where a recession is preceded by the introduction of a new risk source. The expected...

We introduce a reduced-form term structure model with closed-form solutions for yields where the short rate and market prices of risk are nonlinear functions of Gaussian state variables. The nonlinear model with three factors matches the time-variation in expected excess returns and yield...