We develop a discrete-time real endowment economy featuring recursive preferences and a L´evy time-change subordinator, which represents a clock that connects business time to calendar time. This setup provides a convenient equilibrium framework for pricing non-Gaussian risks, with closed-form...

The asset-market evidence suggests that investors are concerned with large downward moves in equity prices, which occur about once every one or two years in the data. This evidence is puzzling as there are no concurrent jumps in macroeconomic fundamentals at such frequencies. I estimate a...

Close-to-zero interest rates challenge standard economic models in which zero lower bound (ZLB) is absent. We estimate a recursive utility model which features time-varying latent expected real growth, expected inflation, and stochastic inflation volatility. Using an approximate solution to bond...

We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An increase in country's output volatility is associated with a decrease in its output, consumption, and net exports....

We develop a discrete-time real endowment economy featuring recursive preferences and a Levy time-change subordinator, which represents a clock that connects business time to calendar time. This setup provides a convenient equilibrium framework for pricing non-Gaussian risks, with closed-form...