IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "Risk Matters: The Real Effects of Volatility Shocks"

by Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A. & Rubio-Ramírez, Juan Francisco & Uribe, Martín

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. Laurent-Emmanuel Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Working Papers hal-00625500, HAL.
  2. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2016. "Striated Metropolis–Hastings sampler for high-dimensional models," Journal of Econometrics, Elsevier, vol. 192(2), pages 406-420.
  3. Sanjay K. Chugh, 2013. "Firm Risk and Leverage Based Business Cycles," Boston College Working Papers in Economics 844, Boston College Department of Economics.
  4. Neil Shephard, 2013. "Martingale unobserved component models," Economics Series Working Papers 644, University of Oxford, Department of Economics.
  5. Dario Bonciani & Björn van Roye, 2013. "Uncertainty shocks, banking frictions, and economic activity," Kiel Working Papers 1843, Kiel Institute for the World Economy.
  6. Den Haan, Wouter J. & De Wind, Joris, 2012. "Nonlinear and stable perturbation-based approximations," Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1477-1497.
  7. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 247-309 National Bureau of Economic Research, Inc.
  8. Nicholas Bloom, 2013. "Fluctuations in Uncertainty," NBER Working Papers 19714, National Bureau of Economic Research, Inc.
  9. Sanjay Chugh, 2016. "Firm Risk and Leverage-Based Business Cycles," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 20, pages 111-131, April.
  10. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," NBER Working Papers 15928, National Bureau of Economic Research, Inc.
  11. Andrew T. Foerster & Juan F. Rubio-Ramirez & Daniel F. Waggoner & Tao Zha, 2013. "Perturbation methods for Markov-switching DSGE model," Research Working Paper RWP 13-01, Federal Reserve Bank of Kansas City.
  12. Orlik, Anna & Veldkamp, Laura, 2014. "Understanding Uncertainty Shocks and the Role of Black Swans," CEPR Discussion Papers 10147, C.E.P.R. Discussion Papers.
  13. Durdu, C. Bora & Nunes, Ricardo & Sapriza, Horacio, 2013. "News and sovereign default risk in small open economies," Journal of International Economics, Elsevier, vol. 91(1), pages 1-17.
  14. Francesco Bianchi & Cosmin L. Ilut & Martin Schneider, 2014. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," NBER Working Papers 20081, National Bureau of Economic Research, Inc.
  15. Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013. "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 33-50.
  16. Hong Lan & Alexander Meyer-Gohde, 2013. "Decomposing Risk in Dynamic Stochastic General Equilibrium," SFB 649 Discussion Papers SFB649DP2013-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  17. Paul Luk & David Vines, 2014. "Debt Deleveraging and the Zero Bound: Potentially Perverse Effects of Real Exchange Rate Movements," Working Papers 202014, Hong Kong Institute for Monetary Research.
  18. Dorofeenko, Victor & Lee, Gabriel S. & Salyer, Kevin D., 2014. "Risk shocks and housing supply: A quantitative analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 194-219.
  19. Eric R. Sims, 2012. "Uncertainty and Economic Activity: Evidence from Business Survey Data," Working Papers 014, University of Notre Dame, Department of Economics, revised Jun 2012.
  20. Larry Epstein & Shaolin Ji, 2011. "Ambiguous Volatility, Possibility and Utility in Continuous Time," Papers 1103.1652, arXiv.org, revised Jan 2013.
  21. Juliana Dutra Araujo & Bin Li & Marcos Poplawski-Ribeiro & Luis-Felipe Zanna, 2013. "Current Account Norms in Natural Resource Rich and Capital Scarce Economies," IMF Working Papers 13/80, International Monetary Fund.
  22. Kollmann, Robert, 2016. "Tractable Likelihood-Based Estimation of Non-Linear DSGE Models Using Higher-Order Approximations," MPRA Paper 70350, University Library of Munich, Germany.
  23. Yusuf Soner Başkaya & Timur Hülagü & Hande Küçük, 2013. "Oil Price Uncertainty in a Small Open Economy," IMF Economic Review, Palgrave Macmillan, vol. 61(1), pages 168-198, April.
  24. Babecký, Jan & Havránek, Tomáš & Matějů, Jakub & Rusnák, Marek & Šmídková, Kateřina & Vašíček, Bořek, 2014. "Banking, debt, and currency crises in developed countries: Stylized facts and early warning indicators," Journal of Financial Stability, Elsevier, vol. 15(C), pages 1-17.
  25. Kollmann, Robert, 2016. "International Business Cycles and Risk Sharing with Uncertainty Shocks and Recursive Preferences," MPRA Paper 70183, University Library of Munich, Germany.
  26. Mumtaz, Haroon, 2011. "Estimating the impact of the volatility of shocks: a structural VAR approach," Bank of England working papers 437, Bank of England.
  27. K. Istrefi & A. Piloiu, 2014. "Economic Policy Uncertainty and Inflation Expectations," Working papers 511, Banque de France.
  28. Scott R. Baker & Nicholas Bloom, 2013. "Does Uncertainty Reduce Growth? Using Disasters as Natural Experiments," NBER Working Papers 19475, National Bureau of Economic Research, Inc.
  29. Bergin, Paul R & Corsetti, Giancarlo, 2015. "Beyond Competitive Devaluations: The Monetary Dimensions of Comparative Advantage," CEPR Discussion Papers 10718, C.E.P.R. Discussion Papers.
  30. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous Volatility and Asset Pricing in Continuous Time," Review of Financial Studies, Society for Financial Studies, vol. 26(7), pages 1740-1786.
  31. Francois Gourio, 2011. "Credit Risk and Disaster Risk," NBER Working Papers 17026, National Bureau of Economic Research, Inc.
  32. Julien Albertini & Hong Lan, 2016. "The importance of time-varying parameters in new Keynesian models with zero lower bound," SFB 649 Discussion Papers SFB649DP2016-013, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  33. Maral Shamloo & Aytek Malkhozov, 2010. "Asset Prices in Affine Real Business Cycle Models," IMF Working Papers 10/249, International Monetary Fund.
  34. Fernando Broner & Guido Lorenzoni & Sergio L. Schmukler, . "Why Do Emerging Economies Borrow Short Term?," Working Papers 308, Barcelona Graduate School of Economics.
  35. Bianchi, Francesco, 2016. "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, vol. 190(1), pages 79-99.
  36. Ryan Kellogg, 2010. "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," NBER Working Papers 16541, National Bureau of Economic Research, Inc.
  37. Choi, Sangyup & Loungani, Prakash, 2015. "Uncertainty and unemployment: The effects of aggregate and sectoral channels," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 344-358.
  38. Viktors Ajevskis, 2015. "Nonlocal Solutions to Dynamic Equilibrium Models: The Approximate Stable Manifolds Approach," Papers 1506.02521, arXiv.org.
  39. Isoré, Marlène & Szczerbowicz, Urszula, 2015. "Disaster risk and preference shifts in a New Keynesian model," MPRA Paper 65643, University Library of Munich, Germany.
  40. Malkhozov, Aytek, 2014. "Asset prices in affine real business cycle models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 180-193.
  41. repec:dau:papers:123456789/12798 is not listed on IDEAS
  42. Baltasar Manzano & Luis Rey, 2012. "The Welfare Cost of Energy Insecurity," Working Papers fa07-2012, Economics for Energy.
  43. Ruediger Bachmann & Christian Bayer, 2009. "Firm-Specific Productivity Risk over the Business Cycle: Facts and Aggregate Implications," 2009 Meeting Papers 869, Society for Economic Dynamics.
  44. Jochen Güntner, 2013. "The federal funds market, excess reserves, and unconventional monetary policy," Economics working papers 2013-12, Department of Economics, Johannes Kepler University Linz, Austria.
  45. Mumtaz, Haroon & Theodoridis, Konstantinos, 2012. "The international transmission of volatility shocks: an empirical analysis," Bank of England working papers 463, Bank of England.
  46. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," CESifo Working Paper Series 4736, CESifo Group Munich.
  47. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Juan F. Rubio-Ramírez & Martin Uribe, 2009. "Risk Matters: The Real Effects of Volatility Shocks," PIER Working Paper Archive 09-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  48. Pablo Guerron-Quintana, 2012. "Common and idiosyncratic disturbances in developed small open economies," Working Papers 12-3, Federal Reserve Bank of Philadelphia.
  49. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013. "Financial Risk Measurement for Financial Risk Management," Handbook of the Economics of Finance, Elsevier.
  50. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nistico, 2011. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," FMG Discussion Papers dp677, Financial Markets Group.
  51. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Keith Kuester & Juan Rubio-Ramirez, 2011. "Fiscal Volatility Shocks and Economic Activity," PIER Working Paper Archive 11-022, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  52. Francisco Blasques, 2013. "Solution-Driven Specification of DSGE Models," Tinbergen Institute Discussion Papers 13-062/III, Tinbergen Institute.
  53. Gill Segal & Ivan Shaliastovich & Amir Yaron, 2014. "Good and Bad Uncertainty: Macroeconomic and Financial Market Implications," 2014 Meeting Papers 488, Society for Economic Dynamics.
  54. François Gourio, 2009. "Disasters Risk and Business Cycles," NBER Working Papers 15399, National Bureau of Economic Research, Inc.
  55. Bouakez, Hafedh & Chihi, Foued & Normandin, Michel, 2014. "Fiscal policy and external adjustment: New evidence," Journal of International Money and Finance, Elsevier, vol. 40(C), pages 1-20.
  56. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2012. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," NBER Working Papers 18128, National Bureau of Economic Research, Inc.
  57. Patricia Gómez-González & Daniel Rees, 2013. "Stochastic Terms of Trade Volatility in Small Open Economies," RBA Research Discussion Papers rdp2013-10, Reserve Bank of Australia.
  58. Hong Lan & Alexander Meyer-Gohde, 2013. "Pruning in Perturbation DSGE Models - Guidance from Nonlinear Moving Average Approximations," SFB 649 Discussion Papers SFB649DP2013-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  59. Paul R. Bergin & Giancarlo Corsetti, 2015. "Beyond Competitive Devaluations: The Monetary Dimensions of Comparative Advantage," Cambridge Working Papers in Economics 1559, Faculty of Economics, University of Cambridge.
  60. Jesús Fernández-Villaverde & Juan Rubio-Ramírez, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," NBER Working Papers 16618, National Bureau of Economic Research, Inc.
  61. Born, Benjamin & Pfeifer, Johannes, 2014. "Risk Matters: A Comment," Dynare Working Papers 39, CEPREMAP.
  62. Benjamin Born & Johannes Pfeifer, 2013. "Policy Risk and the Business Cycle," CESifo Working Paper Series 4336, CESifo Group Munich.
  63. Caggiano, Giovanni & Castelnuovo, Efrem & Groshenny, Nicolas, 2014. "Uncertainty shocks and unemployment dynamics in U.S. recessions," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 78-92.
  64. Hiroaki Miyamoto, 2016. "Uncertainty shocks and labor market dynamics in Japan," Working Papers SDES-2016-8, Kochi University of Technology, School of Economics and Management, revised Jun 2016.
  65. Hong Lan & Alexander Meyer-Gohde, 2012. "Existence and Uniqueness of Perturbation Solutions to DSGE Models," SFB 649 Discussion Papers SFB649DP2012-015, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  66. Balcilar, Mehmet & Gupta, Rangan & Kotzé, Kevin, 2015. "Forecasting macroeconomic data for an emerging market with a nonlinear DSGE model," Economic Modelling, Elsevier, vol. 44(C), pages 215-228.
  67. Klodiana Istrefi & Anamaria Piloiu, 2013. "Economic Policy Uncertainty, Trust and Inflation Expectations," CESifo Working Paper Series 4294, CESifo Group Munich.
  68. Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
  69. Dorofeenko, Victor & Lee, Gabriel S. & Salyer, Kevin D., 2010. "Risk Shocks and Housing Markets," Economics Series 249, Institute for Advanced Studies.
  70. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2014. "The Dynamic Striated Metropolis-Hastings Sampler for High-Dimensional Models," FRB Atlanta Working Paper 2014-21, Federal Reserve Bank of Atlanta.
  71. Fogli, Alessandra & Perri, Fabrizio, 2015. "Macroeconomic volatility and external imbalances," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 1-15.
  72. Marcelo Ochoa, 2013. "Volatility, labor heterogeneity and asset prices," Finance and Economics Discussion Series 2013-71, Board of Governors of the Federal Reserve System (U.S.).
  73. Eguren Martin, Fernando, 2016. "Exchange rate regimes and current account adjustment: An empirical investigation," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 69-93.
  74. Zinna, Gabriele, 2014. "Identifying risks in emerging market sovereign and corporate bond spreads," Emerging Markets Review, Elsevier, vol. 20(C), pages 1-22.
  75. Susanto Basu & Brent Bundick, 2011. "Uncertainty Shocks in a Model of Effective Demand," Boston College Working Papers in Economics 774, Boston College Department of Economics, revised 01 Nov 2015.
  76. Bouakez, Hafedh & Chihi, Foued & Normandin, Michel, 2014. "Measuring the effects of fiscal policy," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 123-151.
  77. Manuel Gonzalez-Astudillo, 2013. "Monetary-fiscal policy interactions: interdependent policy rule coefficients," Finance and Economics Discussion Series 2013-58, Board of Governors of the Federal Reserve System (U.S.).
  78. István Magas, 2011. "Financial liberalisation – The dilemmas of national adaptation," Public Finance Quarterly, State Audit Office of Hungary, vol. 56(2), pages 214-240.
  79. Ferrari, Massimo, 2014. "The financial meltdown: a model with endogenous default probability," MPRA Paper 59419, University Library of Munich, Germany.
  80. Hsu, Alex & Palomino, Francisco, 2015. "A simple nonnegative process for equilibrium models," Economics Letters, Elsevier, vol. 132(C), pages 39-44.
  81. P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
  82. Andrade, P. & Ghysels, E. & Idier, J., 2012. "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers 407, Banque de France.
  83. Kollmann, Robert, 2015. "Risk sharing in a world economy with uncertainty shocks," Globalization and Monetary Policy Institute Working Paper 258, Federal Reserve Bank of Dallas.
  84. Paul Bergin & Giancarlo Corsetti, 2015. "Beyond Competitive Devaluations: The Monetary Dimensions of Comparative Advantage," Discussion Papers 1516, Centre for Macroeconomics (CFM).
  85. Anh Nguyen, 2015. "Financial frictions and the volatility of monetary policy in a DSGE model," Working Papers 75949436, Lancaster University Management School, Economics Department.
  86. Ali Chebbi, 2015. "Stochastic growth, taxation policy and welfare cost in an open emerging economy," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 62(1), pages 57-84, March.
  87. Cesa-Bianchi, Ambrogio & Fernandez-Corugedo, Emilio, 2014. "Uncertainty in a model with credit frictions," Bank of England working papers 496, Bank of England.
  88. Gregory Clark & Neil Cummins, 2010. "Malthus to Modernity: England?s First Fertility Transition, 1760-1800," Working Papers 1013, University of California, Davis, Department of Economics.
  89. Bonciani, Dario, 2014. "Uncertainty shocks: it's a matter of habit," MPRA Paper 59370, University Library of Munich, Germany.
  90. Seoane, Hernán D., 2015. "Near unit root small open economies," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 37-46.
  91. Marina Azzimonti-Renzo & Matthew Talbert, 2011. "Partisan cycles and the consumption volatility puzzle," Working Papers 11-21, Federal Reserve Bank of Philadelphia.
  92. Damiano Sandri, 2011. "Precautionary Savings and Global Imbalances in World General Equilibrium," IMF Working Papers 11/122, International Monetary Fund.
  93. Flamini, Alessandro & Milas, Costas, 2015. "Distribution forecast targeting in an open-economy, macroeconomic volatility and financial implications," Journal of Financial Stability, Elsevier, vol. 16(C), pages 89-105.
  94. Álvarez-Parra, Fernando & Brandao-Marques, Luis & Toledo, Manuel, 2013. "Durable goods, financial frictions, and business cycles in emerging economies," Journal of Monetary Economics, Elsevier, vol. 60(6), pages 720-736.
  95. Thomas Barnebeck Andersen & Nikolaj Malchow-Møller, 2015. "Innovations in Mortgage Finance and the Onset of the Great Recession in a Small Open Economy with a Euro Peg," Comparative Economic Studies, Palgrave Macmillan, vol. 57(4), pages 711-734, December.
  96. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
  97. Nuguer Victoria & Cuadra Gabriel, 2016. "Risky Banks and Macroprudential Policy for Emerging Economies," Working Papers 2016-06, Banco de México.
  98. Emre Alper & Lorenzo Forni, 2011. "Public Debt in Advanced Economies and its Spillover Effectson Long-Term Yields," IMF Working Papers 11/210, International Monetary Fund.
  99. Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015. "Good and bad uncertainty: Macroeconomic and financial market implications," Journal of Financial Economics, Elsevier, vol. 117(2), pages 369-397.
  100. Rüdiger Bachmann & Christian Bayer, 2011. "Uncertainty Business Cycles - Really?," NBER Working Papers 16862, National Bureau of Economic Research, Inc.
  101. Pablo Guerron-Quintana, 2012. "Risk and uncertainty," Business Review, Federal Reserve Bank of Philadelphia, issue Q1, pages 9-18.
  102. Carrière-Swallow, Yan & Céspedes, Luis Felipe, 2013. "The impact of uncertainty shocks in emerging economies," Journal of International Economics, Elsevier, vol. 90(2), pages 316-325.
  103. Martín Uribe, 2011. "Comment on "Risk, Monetary Policy and the Exchange Rate"," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 315-324 National Bureau of Economic Research, Inc.
  104. Liu, Hening & Miao, Jianjun, 2015. "Growth uncertainty, generalized disappointment aversion and production-based asset pricing," Journal of Monetary Economics, Elsevier, vol. 69(C), pages 70-89.
  105. International Monetary Fund, 2011. "Business Cycles in Emerging Markets; The Role of Durable Goods and Financial Frictions," IMF Working Papers 11/133, International Monetary Fund.
  106. Šustek, Roman, 2011. "Plant-level nonconvex output adjustment and aggregate fluctuations," Journal of Monetary Economics, Elsevier, vol. 58(4), pages 400-414.
  107. Murray, James, 2014. "Fiscal Policy Uncertainty and Its Macroeconomic Consequences," MPRA Paper 57409, University Library of Munich, Germany.
  108. Lan, Hong & Meyer-Gohde, Alexander, 2014. "Solvability of perturbation solutions in DSGE models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 366-388.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.