Stock market volatility was extremely high during the Great Depression relative to any other period in American history. At the same time, large negative and positive discontinuous jumps in stock returns can be detected using the Barndorff-Nielsen and Shephard (2004) test for jumps in financial...

Does credit availability exacerbate asset price inflation? What channels could it work through? What are the long run consequences? In this paper we address these questions by examining the farm land price boom (and bust) in the United States that preceded the Great Depression. We find that...

This paper shows that house price fluctuations can have a significant impact on credit availability. Data from Prosper.com, a peer to peer lending site that matches borrowers and lenders to provide unsecured consumer loans, indicate that home owners in states with declining house prices...

This paper shows that house price fluctuations can have a significant impact on credit markets well beyond the mortgage segment. Using new data from Prosper.com, a peer to peer lending site that matches borrowers and lenders to provide unsecured consumer loans, we find evidence that home owners...

We capture economic policy uncertainty from mainstream TV cable networks and link it to market volatility. The novelty of our method is that we can identify who is on TV and when the news is delivered. Our measure is correlated with print-based measures of policy uncertainty at the daily level,...

We investigate the effect of uncertainty on investment. We employ a unique dataset of 25000 Greek firms' balance sheets for 14 years covering the period before and after the eurozone crisis. A dynamic factor model is employed to proxy uncertainty. The investment performance of 14 sectors is...

We propose a new instrument to identify uncertainty shocks in a SVAR model with external instruments. The instrument is constructed by exploiting variations in the price of gold around events that capture periods of changes in uncertainty. The variations in the price of gold around the events...

We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average more than five percent return per year as a...