We find significant evidence of model mis-specification, in the form of neglected serial correlation, in the econometric model of the U.S. housing market used by Taylor (2007) in his critique of monetary policy following the 2001 recession. When we model that serial correlation, his model fails...

Despite the typically more pronounced aggregate fluctuations in emerging market economies (EMEs), this paper documents that EMEs exhibit a lower relative volatility and countercyclicality of unemployment rate than small open advanced economies. We link these differences to the larger informal...

Real business cycles in China are different than in many other countries, including consumption being more volatile than output and uncorrelated with investment. To study whether Chinese institutions can account for these features, we expand the standard real business cycle model with private...

This paper quantifies the impact of three key external shocks -- external demand, interest rate, and uncertainty shocks -- on emerging market economies (EMEs). We find that external shocks have a sizeable impact on macroeconomic fluctuations in EMEs and that a considerable fraction of this...

The US equity risk premium is approximated with a mean unhedged equity return. I utilize out-of-the-money put options to obtain a hedged equity return, which allows me to quantify the disaster risk premium as the difference between the means of unhedged and hedged equity returns. I demonstrate...

Not necessarily. I provide evidence that advanced countries' equity premium and consumption growth differ significantly from those of emerging countries. I then estimate distinct disaster risk parameters for these two country groups. My Bayesian analysis demonstrates that in some aspects...