uncertainty" channel is amplified by external habit, which makes the investor feel poorer and act more prudently. A calibrated …

We study the effect of economic uncertainty exposure (EUE) on cross-sectional return differentiating the mispricing …

framework, combined with parameter learning, features rich history-dependent uncertainty dynamics. We show that bad news that … greatly amplified when agents have a preference for early resolution of uncertainty. We leverage survey recession probability … historical periods in which uncertainty and risk premia were elevated because of news shocks. …

Is time-varying firm-level uncertainty a major cause or amplifier of the business cycle? This paper investigates this … adjustment, where cyclical changes in uncertainty correspond naturally to cyclical changes in the cross-sectional dispersion of … firm-level uncertainty varies over the cycle. This allows us to put empirical discipline on our numerical simulations. We …