, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …

What drives macroeconomic tail risk? To answer this question, we borrow a definition of macroeconomic risk from Adrian … (Jordà , 2005) to assess how this measure of risk moves in response to economic shocks to the level of technology, monetary … contractionary shocks disproportionately increase downside risk, independently of what shock we look at …

dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …