individual stochastic discount factors. We prove that equity price volatility becomes arbitrarily large as the volatility of … aggregate output volatility falls. We propose a two-step spectral factorization method that permits closed-form solutions in the …

news shock through their identification. However, the news shock leads to a stock market boom with a negligible impact on …

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on …

whether interest rate and stock market volatility play an additional role as recession indicators. Both risk-return analysis … and the theory of investment under uncertainty provide a rationale for this extension. The results show that interest rate … and stock return volatility do not contribute systematically to the forecasting of recessions in the US using the NBER …

that (1) output, employment, and stock price plummet rapidly in response to a bad volatility shock, while their responses … to a good volatility shock are modest, and (2) bad volatility shocks explain the bulk of economic activity and stock … volatility — which are based on the maximum and minimum stock prices within a month. Good (bad) volatility is associated with …