framework developed by Hyman P. Minsky, the paper focuses on the risk of amplification of shock via a debt deflation instead of … the risk of a shock per se. Thus, instead of focusing on credit risk, for example, financial fragility is defined in … relation to the means used to service debts, given credit risk and all other sources of shocks. The greater the expected …

We develop a theory of endogenous uncertainty where the ability of investors to learn about firm-level fundamentals … misallocation, volatile asset prices, high risk premia, an increased cross-sectional dispersion of returns, and high levels of …

framework developed by Hyman P. Minsky, the paper focuses on the risk of amplification of shock via a debt deflation instead of … the risk of a shock per se. Thus, instead of focusing on credit risk, for example, financial fragility is defined in … relation to the means used to service debts, given credit risk and all other sources of shocks. The greater the expected …

This paper develops a theory of sovereign debt crises driven by uncertainty shocks that are modeled as changes in …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …