based on their ability to capture tail risk for economic activity and to predict banking and currency crises. We find that …

Macroeconomic uncertainty—the conditional volatility of the unforecastable component of a future value of a time series …

they characterize non-parametric persistence, with particular emphasis on measuring tail risk. We propose simple estimates …

is in detrended U.S./euro area data. We also find that the financial frictions tend to increase the volatility of the … model to an alternative model that also includes risk shocks à la Christiano, Motto and Rostango (2014). We use credit … spread data (for the United States) to calibrate the AR(1) process for risk shocks. We find that risk shocks are too small to …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … (“uncertainty”), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … (“uncertainty”), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty …We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy … monetary policy decreases risk aversion after about five months. Monetary authorities react to periods of high uncertainty by …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …