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Citations for "Risk Matters: The Real E¤ects of Volatility Shocks"

by Pablo A. Guerron-Quintana & Martin Uribe & Juan Rubio-Ramirez & Jesús Fernández-Villaverde

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  1. Bundick, Brent & Basu, Susanto, 2014. "Uncertainty shocks in a model of effective demand," Research Working Paper RWP 14-15, Federal Reserve Bank of Kansas City, revised 01 Nov 2015.
  2. Bianchi, Francesco, 2013. "Methods for Measuring Expectations and Uncertainty in Markov-Switching Models," CEPR Discussion Papers 9705, C.E.P.R. Discussion Papers.
  3. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
  4. Nicholas Bloom, 2014. "Fluctuations In Uncertainty," Working Papers 14-17, Center for Economic Studies, U.S. Census Bureau.
  5. 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.
  6. Guerron-Quintana, Pablo A., 2013. "Common and idiosyncratic disturbances in developed small open economies," Journal of International Economics, Elsevier, vol. 90(1), pages 33-49.
  7. Pablo Guerron-Quintana, 2012. "Risk and uncertainty," Business Review, Federal Reserve Bank of Philadelphia, issue Q1, pages 9-18.
  8. Francois Gourio, 2009. "Disaster risk and business cycles," 2009 Meeting Papers 1176, Society for Economic Dynamics.
  9. Bonciani, Dario & van Roye, Björn, 2015. "Uncertainty shocks, banking frictions and economic activity," Working Paper Series 1825, European Central Bank.
  10. Broner, Fernando A. & Lorenzoni, Guido & Schmukler, Sergio L., 2004. "Why do emerging economies borrow short term?," Policy Research Working Paper Series 3389, The World Bank.
  11. Benjamin Born & Johannes Pfeifer, 2013. "Policy Risk and the Business Cycle," CESifo Working Paper Series 4336, CESifo Group Munich.
  12. 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.
  13. P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
  14. repec:dau:papers:123456789/12798 is not listed on IDEAS
  15. Kollmann, Robert, 2015. "Risk Sharing in a World Economy with Uncertainty Shocks," CEPR Discussion Papers 10940, C.E.P.R. Discussion Papers.
  16. Benjamin Born & Johannes Pfeifer, 2014. "Risk Matters: A Comment," CESifo Working Paper Series 4793, CESifo Group Munich.
  17. Bachmann, Ruediger & Bayer, Christian, 2009. "Firm-specific productivity risk over the business cycle: facts and aggregate implications," Discussion Paper Series 1: Economic Studies 2009,15, Deutsche Bundesbank, Research Centre.
  18. Orlik, Anna & Veldkamp, Laura, 2014. "Understanding Uncertainty Shocks and the Role of Black Swans," CEPR Discussion Papers 10147, C.E.P.R. Discussion Papers.
  19. Francois Gourio, 2012. "Credit risk and disaster risk," Working Paper Series WP-2012-07, Federal Reserve Bank of Chicago.
  20. 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.
  21. Ferrari, Massimo, 2014. "The financial meltdown: a model with endogenous default probability," MPRA Paper 59419, University Library of Munich, Germany.
  22. Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," Les Cahiers de Recherche 947, HEC Paris.
  23. Lan, Hong & Meyer-Gohde, Alexander, 2012. "Existence and Uniqueness of Perturbation Solutions in DSGE Models," Dynare Working Papers 14, CEPREMAP.
  24. 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.
  25. Giovanni Caggiano & Efrem Castelnuovo & Nicolas Groshenny, 2014. "Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions," Melbourne Institute Working Paper Series wp2014n12, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
  26. R?diger Bachmann & Steffen Elstner & Eric R. Sims, 2013. "Uncertainty and Economic Activity: Evidence from Business Survey Data," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(2), pages 217-49, April.
  27. Jesus Fernandez-Villaverde & Pablo Guerron-Quintana & Juan F. Rubio-Ramirez & Martin Uribe, 2011. "Risk Matters: The Real Effects of Volatility Shocks," American Economic Review, American Economic Association, vol. 101(6), pages 2530-61, October.
  28. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
  29. Isoré, Marlène & Szczerbowicz, Urszula, 2015. "Disaster risk and preference shifts in a New Keynesian model," MPRA Paper 65643, University Library of Munich, Germany.
  30. 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.
  31. 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.
  32. Yan Carrière–Swallow & Luis Felipe Céspedes, 2011. "The Impact of Uncertainty Shocks in Emerging Economies," Working Papers Central Bank of Chile 646, Central Bank of Chile.
  33. Haroon Mumtaz & Konstantinos Theodoridis, 2015. "The International Transmission Of Volatility Shocks: An Empirical Analysis," Journal of the European Economic Association, European Economic Association, vol. 13(3), pages 512-533, 06.
  34. Fernández-Villaverde, Jesús & Guerron-Quintana, Pablo A. & Rubio-Ramírez, Juan Francisco, 2010. "Fortune or Virtue: Time-Variant Volatilities Versus Parameter Drifting in U.S. Data," CEPR Discussion Papers 7813, C.E.P.R. Discussion Papers.
  35. Hashem Pesaran & Ambrogio Cesa-Bianchi & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," Cambridge Working Papers in Economics 1407, Faculty of Economics, University of Cambridge.
  36. 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.
  37. Malkhozov, Aytek, 2014. "Asset prices in affine real business cycle models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 180-193.
  38. Nuguer Victoria & Cuadra Gabriel, 2016. "Risky Banks and Macroprudential Policy for Emerging Economies," Working Papers 2016-06, Banco de México.
  39. Scott R. Baker & Nicholas Bloom, 2013. "Does Uncertainty Reduce Growth? Using Disasters as Natural Experiments," CEP Discussion Papers dp1243, Centre for Economic Performance, LSE.
  40. 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.
  41. Jan Babecký & Tomáš Havránek & Jakub Mateju & Marek Rusnák & Katerina Šmídková & Borek Vašícek, 2012. "Banking, Debt, and Currency Crises: Early Warning Indicators for Developed Countries," Working Papers IES 2012/20, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jul 2012.
  42. 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.
  43. Gill Segal & Ivan Shaliastovich & Amir Yaron, 2014. "Good and Bad Uncertainty: Macroeconomic and Financial Market Implications," 2014 Meeting Papers 488, Society for Economic Dynamics.
  44. 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.
  45. Ryan Kellogg, 2014. "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," American Economic Review, American Economic Association, vol. 104(6), pages 1698-1734, June.
  46. 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.
  47. 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.
  48. Maximiliano Dvorkin, 2013. "Sectoral Shocks, Reallocation and Unemployment in a Model of Competitive Labor Markets," 2013 Meeting Papers 1229, Society for Economic Dynamics.
  49. 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.
  50. 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.
  51. 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.
  52. Šustek, Roman, 2011. "Plant-level nonconvex output adjustment and aggregate fluctuations," Journal of Monetary Economics, Elsevier, vol. 58(4), pages 400-414.
  53. Clark, Gregory & Cummins, Neil, 2010. "Malthus to Modernity: England’s First Fertility Transition, 1760-1800," MPRA Paper 25465, University Library of Munich, Germany.
  54. Francisco Blasques, 2013. "Solution-Driven Specification of DSGE Models," Tinbergen Institute Discussion Papers 13-062/III, Tinbergen Institute.
  55. 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.
  56. 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.
  57. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nistico, 2011. "Second-Order Approximation of Dynamic Models with Time-Varying Risk," FMG Discussion Papers dp677, Financial Markets Group.
  58. 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.
  59. 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.
  60. 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.
  61. 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.
  62. 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.
  63. 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.
  64. Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," CEPR Discussion Papers 8169, C.E.P.R. Discussion Papers.
  65. Hsu, Alex & Palomino, Francisco, 2015. "A simple nonnegative process for equilibrium models," Economics Letters, Elsevier, vol. 132(C), pages 39-44.
  66. 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.
  67. 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.
  68. 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.
  69. Seoane, Hernán D., 2015. "Near unit root small open economies," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 37-46.
  70. Gabriel Lee & Victor Dorofeenko & Kevin Salyer, . "Risk Shocks and Housing Markets," Working Papers 1011, University of California, Davis, Department of Economics.
  71. 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.
  72. Viktors Ajevskis, 2015. "Nonlocal Solutions to Dynamic Equilibrium Models: The Approximate Stable Manifolds Approach," Papers 1506.02521, arXiv.org.
  73. Sanjay K. Chugh, 2013. "Firm Risk and Leverage Based Business Cycles," Boston College Working Papers in Economics 844, Boston College Department of Economics.
  74. Yusuf Soner Baskaya & Timur Hulagu & Hande Kucuk, 2013. "Oil Price Uncertainty in a Small Open Economy," Working Papers 1309, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  75. Andrade, P. & Ghysels, E. & Idier, J., 2012. "Tails of Inflation Forecasts and Tales of Monetary Policy," Working papers 407, Banque de France.
  76. K. Istrefi & A. Piloiu, 2014. "Economic Policy Uncertainty and Inflation Expectations," Working papers 511, Banque de France.
  77. 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.
  78. Yang Liu & Mariano Croce & Ivan Shaliastovich & Ric Colacito, 2016. "Volatility Risk Pass-Through," 2016 Meeting Papers 135, Society for Economic Dynamics.
  79. Larry Epstein & Shaolin Ji, 2011. "Ambiguous Volatility, Possibility and Utility in Continuous Time," Papers 1103.1652, arXiv.org, revised Jan 2013.
  80. István Magas, 2011. "Financial liberalisation – The dilemmas of national adaptation," Public Finance Quarterly, State Audit Office of Hungary, vol. 56(2), pages 214-240.
  81. Robert Kollmann, 2016. "Tractable Likelihood-Based Estimation of Non-Linear DSGE Models Using Higher-Order Approximations," Working Papers ECARES ECARES 2016-15, ULB -- Universite Libre de Bruxelles.
  82. 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.
  83. Bonciani, Dario, 2014. "Uncertainty shocks: it's a matter of habit," MPRA Paper 59370, University Library of Munich, Germany.
  84. Alessandra Fogli & Fabrizio Perri, 2015. "Macroeconomic Volatility and External Imbalances," NBER Working Papers 20872, National Bureau of Economic Research, Inc.
  85. Cesa-Bianchi, Ambrogio & Fernandez-Corugedo, Emilio, 2014. "Uncertainty in a model with credit frictions," Bank of England working papers 496, Bank of England.
  86. Neil Shephard, 2013. "Martingale unobserved component models," Economics Papers 2013-W01, Economics Group, Nuffield College, University of Oxford.
  87. Paul Bergin & Giancarlo Corsetti, 2015. "Beyond Competitive Devaluations: The Monetary Dimensions of Comparative Advantage," Discussion Papers 1516, Centre for Macroeconomics (CFM).
  88. 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.
  89. Kollmann, Robert, 2016. "International Business Cycles and Risk Sharing with Uncertainty Shocks and Recursive Preferences," MPRA Paper 70183, University Library of Munich, Germany.
  90. 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.
  91. Mumtaz, Haroon, 2011. "Estimating the impact of the volatility of shocks: a structural VAR approach," Bank of England working papers 437, Bank of England.
  92. Marina Azzimonti-Renzo & Matthew Talbert, 2011. "Partisan cycles and the consumption volatility puzzle," Working Papers 11-21, Federal Reserve Bank of Philadelphia.
  93. 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.
  94. Damiano Sandri, 2011. "Precautionary Savings and Global Imbalances in World General Equilibrium," IMF Working Papers 11/122, International Monetary Fund.
  95. Sangyup Choi & Prakash Loungani, 2015. "Uncertainty and Unemployment; The Effects of Aggregate and Sectoral Channels," IMF Working Papers 15/36, International Monetary Fund.
  96. 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.
  97. Klodiana Istrefi & Anamaria Piloiu, 2013. "Economic Policy Uncertainty, Trust and Inflation Expectations," CESifo Working Paper Series 4294, CESifo Group Munich.
  98. 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.
  99. 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.
  100. Gonzalez-Astudillo, Manuel, 2013. "Monetary-Fiscal Policy Interactions: Interdependent Policy Rule Coefficients," MPRA Paper 50040, University Library of Munich, Germany.
  101. Anh Nguyen, 2015. "Financial frictions and the volatility of monetary policy in a DSGE model," Working Papers 75949436, Lancaster University Management School, Economics Department.
  102. Murray, James, 2014. "Fiscal Policy Uncertainty and Its Macroeconomic Consequences," MPRA Paper 57409, University Library of Munich, Germany.
  103. 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.).
  104. 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.
  105. Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
  106. 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.
  107. Rüdiger Bachmann & Christian Bayer, 2011. "Uncertainty Business Cycles - Really?," NBER Working Papers 16862, National Bureau of Economic Research, Inc.
  108. Zinna, Gabriele, 2014. "Identifying risks in emerging market sovereign and corporate bond spreads," Emerging Markets Review, Elsevier, vol. 20(C), pages 1-22.
  109. Baltasar Manzano & Luis Rey, 2012. "The Welfare Cost of Energy Insecurity," Working Papers fa07-2012, Economics for Energy.
  110. Maral Shamloo & Aytek Malkhozov, 2010. "Asset Prices in Affine Real Business Cycle Models," IMF Working Papers 10/249, International Monetary Fund.
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