alternate equilibrium where traditional Taylor rules give rise to self-fulfilling aggregate volatility and excess risk … generate endogenous volatility in a self-fulfilling manner, propelling the entire economy into crises (booms) characterized by …

What is the source of interest rate volatility? Why do low interest rates precede business cycle booms? Most observers …

-to-market ratio of low-volatility stocks minus the book-to-market ratio of high-volatility stocks. PVSt is high when perceived risk …

price in inflation risk premia. Estimation results strongly suggest that the decline in macroeconomic volatilities might …

of housing adjustment. In the time-series dimension, the model accounts for the pro-cyclicality and volatility of housing … following question: what are the consequences for aggregate volatility of an increase in household income and a decrease in down … can explain: (1) 45 percent of the reduction in the volatility of household investment; (2) the decline in the correlation …

time-series, the model matches the procyclicality and volatility of housing investment, and the procyclicality of mortgage … and lower downpayments, and find that these two changes can explain, in the model and in the data, the reduced volatility … of housing investment, the reduced procyclicality of mortgage debt, and a small fraction of the reduced volatility of GDP …

We analyze the implications of financial openness to macroeconomic volatility in a small open economy. Major … macroeconomic aggregates show non-monotonic volatility patterns with respect to the degree of financial openness in the model … without domestic financial frictions. The introduction of domestic financial frictions makes the volatility patterns flatter …