premium. Key for this result are endogenous fluctuations in uncertainty which induce procyclical variations in agent’s nowcast …

A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have … researchers in their analyses. However, risk and uncertainty measures differ across multiple dimensions, including the method of … calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility measures drawing on …

framework, combined with parameter learning, features rich history-dependent uncertainty dynamics. We show that bad news that … greatly amplified when agents have a preference for early resolution of uncertainty. We leverage survey recession probability … historical periods in which uncertainty and risk premia were elevated because of news shocks. …