This paper provides an extensive analysis of the predictive ability of financial volatility measures for economic … activity. We construct monthly measures of aggregated and industry-level stock volatility, and bond market volatility from … daily returns. We model log financial volatility as composed of a long-run component that is common across all series, and a …

We provide an extensive analysis of the predictive ability of financial volatility for economic activity. We consider … monthly measures of realized and implied volatility from the stock and bond markets. In a dynamic factor framework, we extract … the common long-run component of volatility that is likely to be linked to economic fundamentals. Based on powerful in …

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 …

uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …

consistent with the data. Banking regulation, while stabilizing at the aggregate level, may induce volatility at the household …