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Risk Matters: The Real Effects of Volatility Shocks

Citations

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Cited by:

  1. 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.
  2. 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.
  3. Yusuf Soner Başkaya & Timur Hülagü & Hande Küçük, 2013. "Oil Price Uncertainty in a Small Open Economy," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 61(1), pages 168-198, April.
  4. Susanto Basu & Brent Bundick, 2017. "Uncertainty Shocks in a Model of Effective Demand," Econometrica, Econometric Society, vol. 85, pages 937-958, May.
  5. Juan Rubio-Ramirez & Jesus Fernandez-Villaverde & Pablo A. Guerron-Quintana, 2010. "Fortune or Virtue: Time Variant Volatilities versus Parameter Drifting in U.S. Data," 2010 Meeting Papers 270, Society for Economic Dynamics.
  6. Benigno, Gianluca & Benigno, Pierpaolo & Nisticò, Salvatore, 2013. "Second-order approximation of dynamic models with time-varying risk," Journal of Economic Dynamics and Control, Elsevier, pages 1231-1247.
  7. repec:eee:dyncon:v:78:y:2017:i:c:p:1-25 is not listed on IDEAS
  8. 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.
  9. Caggiano, Giovanni & Castelnuovo, Efrem & Groshenny, Nicolas, 2014. "Uncertainty shocks and unemployment dynamics in U.S. recessions," Journal of Monetary Economics, Elsevier, pages 78-92.
  10. Fernando A. Broner & Guido Lorenzoni & Sergio L. Schmukler, 2013. "Why Do Emerging Economies Borrow Short Term?," Journal of the European Economic Association, European Economic Association, vol. 11, pages 67-100, January.
  11. 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.
  12. Xu, Shaofeng, 2017. "Volatility risk and economic welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 17-33.
  13. Murray, James, 2014. "Fiscal Policy Uncertainty and Its Macroeconomic Consequences," MPRA Paper 57409, University Library of Munich, Germany.
  14. Foerster, Andrew & Rubio-Ramírez, Juan & Waggoner, Daniel F. & Zha, Tao, 2013. "Perturbation methods for Markov-switching DSGE models," FRB Atlanta Working Paper 2013-01, Federal Reserve Bank of Atlanta.
  15. Julián Caballero & Andres Fernandez & Jongho Park, 2016. "On Corporate Borrowing, Credit Spreads and Economic Activity in Emerging Economies: An Empirical Investigation," IDB Publications (Working Papers) 7793, Inter-American Development Bank.
  16. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, pages 1-34.
  17. 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.
  18. Güntner, Jochen H.F., 2015. "The federal funds market, excess reserves, and unconventional monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 225-250.
  19. Mehkari, M. Saif, 2016. "Uncertainty shocks in a model with mean-variance frontiers and endogenous technology choices," Journal of Macroeconomics, Elsevier, pages 71-98.
  20. Robert Kollmann, 2015. "Risk Sharing in a World Economy with Uncertainty Shocks," Working Papers ECARES ECARES 2015-43, ULB -- Universite Libre de Bruxelles.
  21. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci, 2014. "Uncertainty and Economic Activity: A Global Perspective," CESifo Working Paper Series 4736, CESifo Group Munich.
  22. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Keith Kuester & Juan Rubio-Ramírez, 2015. "Fiscal Volatility Shocks and Economic Activity," American Economic Review, American Economic Association, pages 3352-3384.
  23. repec:eee:inecon:v:108:y:2017:i:c:p:67-81 is not listed on IDEAS
  24. Paul Bergin & Giancarlo Corsetti, 2015. "Beyond Competitive Devaluations: The Monetary Dimensions of Comparative Advantage," Discussion Papers 1516, Centre for Macroeconomics (CFM).
  25. Bonciani, Dario, 2014. "Uncertainty shocks: it's a matter of habit," MPRA Paper 59370, University Library of Munich, Germany.
  26. Aruoba, S. Borağan & Bocola, Luigi & Schorfheide, Frank, 2017. "Assessing DSGE model nonlinearities," Journal of Economic Dynamics and Control, Elsevier, pages 34-54.
  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, pages 2530-2561.
  28. 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.
  29. 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.
  30. Epstein, Larry G. & Ji, Shaolin, 2014. "Ambiguous volatility, possibility and utility in continuous time," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 269-282.
  31. Born, Benjamin & Pfeifer, Johannes, 2014. "Policy risk and the business cycle," Journal of Monetary Economics, Elsevier, pages 68-85.
  32. Netšunajev, Aleksei & Glass, Katharina, 2017. "Uncertainty and employment dynamics in the euro area and the US," Journal of Macroeconomics, Elsevier, pages 48-62.
  33. 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.
  34. Barnichon, Regis & Matthes, Christian & Ziegenbein, Alexander, 2016. "Theory Ahead of Measurement? Assessing the Nonlinear Effects of Financial Market Disruptions," Working Paper 16-15, Federal Reserve Bank of Richmond.
  35. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2012. "Risk, Monetary Policy, and the Exchange Rate," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 247-309.
  36. Francesco Bianchi & Leonardo Melosi, 2017. "Escaping the Great Recession," American Economic Review, American Economic Association, pages 1030-1058.
  37. Guillaume Bazot & Michael D. Bordo & Eric Monnet, 2014. "The Price of Stability: The balance sheet policy of the Banque de France and the Gold Standard (1880-1914)," NBER Working Papers 20554, National Bureau of Economic Research, Inc.
  38. Durdu, C. Bora & Nunes, Ricardo & Sapriza, Horacio, 2013. "News and sovereign default risk in small open economies," Journal of International Economics, Elsevier, pages 1-17.
  39. repec:eee:ecolet:v:161:y:2017:i:c:p:116-119 is not listed on IDEAS
  40. Giancarlo Corsetti, 2012. "The ‘hoc’ of international macroeconomics after the crisis," Chapters,in: What’s Right with Macroeconomics?, chapter 3, pages 68-89 Edward Elgar Publishing.
  41. Hsu, Alex & Palomino, Francisco, 2015. "A simple nonnegative process for equilibrium models," Economics Letters, Elsevier, vol. 132(C), pages 39-44.
  42. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Keith Kuester & Juan Rubio-Ramírez, 2015. "Fiscal Volatility Shocks and Economic Activity," American Economic Review, American Economic Association, pages 3352-3384.
  43. Zinna, Gabriele, 2014. "Identifying risks in emerging market sovereign and corporate bond spreads," Emerging Markets Review, Elsevier, vol. 20(C), pages 1-22.
  44. Maximiliano Dvorkin, 2013. "Sectoral Shocks, Reallocation and Unemployment in a Model of Competitive Labor Markets," 2013 Meeting Papers 1229, Society for Economic Dynamics.
  45. Waggoner, Daniel F. & Wu, Hongwei & Zha, Tao, 2016. "Striated Metropolis–Hastings sampler for high-dimensional models," Journal of Econometrics, Elsevier, pages 406-420.
  46. Laurent-Emmanuel Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Working Papers hal-00625500, HAL.
  47. Echeverria Garaigorta, Paulina Elisa & Iza Padilla, María Amaya, 2011. "Business cycles in a small open economy: The case of Hong Kong," DFAEII Working Papers 2011-07, University of the Basque Country - Department of Foundations of Economic Analysis II.
  48. Larry G. Epstein & Shaolin Ji, 2013. "Ambiguous Volatility and Asset Pricing in Continuous Time," Review of Financial Studies, Society for Financial Studies, pages 1740-1786.
  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. repec:eee:macchp:v2-527 is not listed on IDEAS
  51. 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.).
  52. Julián Caballero & Andres Fernandez & Jongho Park, 2016. "On Corporate Borrowing, Credit Spreads and Economic Activity in Emerging Economies: An Empirical Investigation," IDB Publications (Working Papers) 95296, Inter-American Development Bank.
  53. Vegard Høghaug Larsen, 2017. "Components of Uncertainty," Working Papers No 4/2017, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  54. Andres Fernandez & Andres Gonzalez & Diego Rodriguez, 2015. "Sharing a Ride on the Commodities Roller Coaster; Common Factors in Business Cycles of Emerging Economies," IMF Working Papers 15/280, International Monetary Fund.
  55. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, pages 1-34.
  56. N. Bloom., 2016. "Fluctuations in uncertainty," VOPROSY ECONOMIKI, N.P. Redaktsiya zhurnala "Voprosy Economiki", vol. 4.
  57. repec:bdr:ensayo:v:35:y:2017:i:82:p:64-77 is not listed on IDEAS
  58. Emi Nakamura & Dmitriy Sergeyev & Jón Steinsson, 2017. "Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence," American Economic Journal: Macroeconomics, American Economic Association, pages 1-39.
  59. Feng, Ling & Lin, Ching-Yi, 2013. "Financial shocks and exports," International Review of Economics & Finance, Elsevier, vol. 26(C), pages 39-55.
  60. Georges Dionne & Mélissa La Haye & Anne-Sophie Bergerès, 2015. "Does asymmetric information affect the premium in mergers and acquisitions?," Canadian Journal of Economics, Canadian Economics Association, pages 819-852.
  61. Wensheng, Kang & Ratti, Ronald & Vespignani, Joaquin, 2017. "Impact of Global Uncertainty on the Global Economy and Large Developed and Developing Economies," MPRA Paper 82188, University Library of Munich, Germany.
  62. Martin Wagner, 2010. "Cointegration analysis with state space models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, pages 273-305.
  63. Edo, Anthony & Toubal, Farid, 2017. "Immigration and the gender wage gap," European Economic Review, Elsevier, pages 196-214.
  64. Flamini, Alessandro & Milas, Costas, 2015. "Distribution forecast targeting in an open-economy, macroeconomic volatility and financial implications," Journal of Financial Stability, Elsevier, pages 89-105.
  65. 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.
  66. Cosmin Ilut & Matthias Kehrig & Martin Schneider, 2014. "Slow to Hire, Quick to Fire: Employment Dynamics with Asymmetric Responses to News," Department of Economics Working Papers 150113, The University of Texas at Austin, Department of Economics, revised Dec 2014.
  67. Viktors Ajevskis, 2013. "Non-Local Solutions to Dynamic Equilibrium Models: the Approximate Stable Manifolds Approach," Working Papers 2013/03, Latvijas Banka.
  68. 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, June.
  69. Gabriel Lee & Victor Dorofeenko & Kevin Salyer, "undated". "Risk Shocks and Housing Markets," Working Papers 1011, University of California, Davis, Department of Economics.
  70. Bianchi, Francesco, 2016. "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, pages 79-99.
  71. Bonciani, Dario & Roye, Björn van, 2016. "Uncertainty shocks, banking frictions and economic activity," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 200-219.
  72. Jianjun Miao & Pengfei Wang & Tao Zha, 2014. "Liquidity Premia, Price-Rent Dynamics, and Business Cycles," NBER Working Papers 20377, National Bureau of Economic Research, Inc.
  73. Robert Kollmann, 2016. "International Business Cycles and Risk Sharing with Uncertainty Shocks and Recursive Preferences," Working Papers ECARES ECARES 2016-13, ULB -- Universite Libre de Bruxelles.
  74. Babecký, Jan & Havránek, Tomáš & Matějů, Jakub & Rusnák, Marek & Šmídková, Kateřina & Vašíček, Bořek, 2013. "Leading indicators of crisis incidence: Evidence from developed countries," Journal of International Money and Finance, Elsevier, pages 1-19.
  75. repec:dau:papers:123456789/12798 is not listed on IDEAS
  76. Fogli, Alessandra & Perri, Fabrizio, 2015. "Macroeconomic volatility and external imbalances," Journal of Monetary Economics, Elsevier, pages 1-15.
  77. Hernan Seoane, 2016. "Time-varying volatility, default and the sovereign risk premium," 2016 Meeting Papers 1132, Society for Economic Dynamics.
  78. Álvarez-Parra, Fernando & Brandao-Marques, Luis & Toledo, Manuel, 2013. "Durable goods, financial frictions, and business cycles in emerging economies," Journal of Monetary Economics, Elsevier, pages 720-736.
  79. Liu, Hening & Miao, Jianjun, 2015. "Growth uncertainty, generalized disappointment aversion and production-based asset pricing," Journal of Monetary Economics, Elsevier, pages 70-89.
  80. repec:eee:eneeco:v:68:y:2017:i:c:p:313-326 is not listed on IDEAS
  81. Dahlquist, Magnus & Setty, Ofer & Vestman, Roine, 2016. "On the Asset Allocation of a Default Pension Fund," CEPR Discussion Papers 11052, C.E.P.R. Discussion Papers.
  82. Kollmann, Robert, 2016. "International business cycles and risk sharing with uncertainty shocks and recursive preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 72(C), pages 115-124.
  83. 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.
  84. Fernández-Villaverde, J. & Rubio-Ramírez, J.F. & Schorfheide, F., 2016. "Solution and Estimation Methods for DSGE Models," Handbook of Macroeconomics, Elsevier.
  85. repec:eee:dyncon:v:80:y:2017:i:c:p:1-16 is not listed on IDEAS
  86. Isoré, Marlène & Szczerbowicz, Urszula, 2017. "Disaster risk and preference shifts in a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, pages 97-125.
  87. 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;Association for Comparative Economic Studies, vol. 57(4), pages 711-734, December.
  88. Michael Curran & Adnan Velic, 2017. "Interest Rate Volatility And Macroeconomic Dynamics: A Cross-Country Analysis," Villanova School of Business Department of Economics and Statistics Working Paper Series 35, Villanova School of Business Department of Economics and Statistics.
  89. repec:ijc:ijcjou:y:2017:q:4:a:8 is not listed on IDEAS
  90. 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.
  91. Guerron-Quintana, Pablo A., 2013. "Common and idiosyncratic disturbances in developed small open economies," Journal of International Economics, Elsevier, pages 33-49.
  92. Clark, Gregory & Cummins, Neil, 2010. "Malthus to Modernity: England’s First Fertility Transition, 1760-1800," MPRA Paper 25465, University Library of Munich, Germany.
  93. Andrew Foerster & Juan F. Rubio‐Ramírez & Daniel F. Waggoner & Tao Zha, 2016. "Perturbation methods for Markov‐switching dynamic stochastic general equilibrium models," Quantitative Economics, Econometric Society, vol. 7(2), pages 637-669, July.
  94. Klodiana Istrefi & Anamaria Piloiu, 2013. "Economic Policy Uncertainty, Trust and Inflation Expectations," CESifo Working Paper Series 4294, CESifo Group Munich.
  95. 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.
  96. Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013. "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, pages 33-50.
  97. Peter Claeys, 2017. "Uncertainty spillover and policy reactions," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 35(82), pages 64-77, April.
  98. 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.
  99. Ryan Kellogg, 2014. "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," American Economic Review, American Economic Association, pages 1698-1734.
  100. Neil Shephard, 2013. "Martingale unobserved component models," Economics Series Working Papers 644, University of Oxford, Department of Economics.
  101. Bianchi, Francesco, 2016. "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, pages 79-99.
  102. Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
  103. Robert Dixon & G. C. Lim & Jan C. van Ours, 2015. "The effect of shocks to labour market flows on unemployment and participation rates," Applied Economics, Taylor & Francis Journals, vol. 47(24), pages 2523-2539, May.
  104. Sylvain Leduc & Zheng Liu, 2012. "Uncertainty shocks are aggregate demand shocks," Working Paper Series 2012-10, Federal Reserve Bank of San Francisco.
  105. Mumtaz, Haroon, 2011. "Estimating the impact of the volatility of shocks: a structural VAR approach," Bank of England working papers 437, Bank of England.
  106. 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.).
  107. K. Istrefi & A. Piloiu, 2016. "Economic policy uncertainty and inflation expectations," Rue de la Banque, Banque de France.
  108. 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.
  109. Scott R. Baker & Nicholas Bloom, 2013. "Does Uncertainty Reduce Growth? Using Disasters as Natural Experiments," CEP Discussion Papers dp1243, Centre for Economic Performance, LSE.
  110. Xu, Shaofeng, 2016. "Interpreting volatility shocks as preference shocks," Economics Letters, Elsevier, vol. 149(C), pages 135-140.
  111. Neil Shephard, 2013. "Martingale unobserved component models," Economics Series Working Papers 644, University of Oxford, Department of Economics.
  112. Kuhanathan Ano Sujithan & Sanvi Avouyi-Dovi & Lyes Koliai, 2014. "On the determinants of food price volatility," Post-Print hal-01511900, HAL.
  113. Damiano Sandri, 2011. "Precautionary Savings and Global Imbalances in World General Equilibrium," IMF Working Papers 11/122, International Monetary Fund.
  114. Caggiano, Giovanni & Castelnuovo, Efrem & Groshenny, Nicolas, 2014. "Uncertainty shocks and unemployment dynamics in U.S. recessions," Journal of Monetary Economics, Elsevier, pages 78-92.
  115. Gill Segal & Ivan Shaliastovich & Amir Yaron, 2014. "Good and Bad Uncertainty: Macroeconomic and Financial Market Implications," 2014 Meeting Papers 488, Society for Economic Dynamics.
  116. Francisco Blasques, 2013. "Solution-Driven Specification of DSGE Models," Tinbergen Institute Discussion Papers 13-062/III, Tinbergen Institute.
  117. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, pages 2734-2766.
  118. 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.
  119. Apostolis Philippopoulos & Petros Varthalitis & Vanghelis Vassilatos, 2017. "Fiscal Consolidation in an Open Economy with Sovereign Premia and without Monetary Policy Independence," International Journal of Central Banking, International Journal of Central Banking, vol. 13(4), pages 259-306, December.
  120. Martin Schneider & Cosmin Ilut & Francesco Bianchi, 2013. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," 2013 Meeting Papers 202, Society for Economic Dynamics.
  121. Seoane, Hernán D., 2015. "Near unit root small open economies," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 37-46.
  122. Maral Shamloo & Aytek Malkhozov, 2010. "Asset Prices in Affine Real Business Cycle Models," IMF Working Papers 10/249, International Monetary Fund.
  123. Francois Gourio, 2012. "Disaster Risk and Business Cycles," American Economic Review, American Economic Association, pages 2734-2766.
  124. Philippe Bacchetta & Kenza Benhima & Yannick Kalantzis, 2013. "Capital Controls with International Reserve Accumulation: Can This Be Optimal?," American Economic Journal: Macroeconomics, American Economic Association, pages 229-262.
  125. Araujo, Juliana D. & Li, Bin Grace & Poplawski-Ribeiro, Marcos & Zanna, Luis-Felipe, 2016. "Current account norms in natural resource rich and capital scarce economies," Journal of Development Economics, Elsevier, pages 144-156.
  126. 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.
  127. Pablo Guerron-Quintana, 2012. "Risk and uncertainty," Business Review, Federal Reserve Bank of Philadelphia, issue Q1, pages 9-18.
  128. Robert Kollmann, 2016. "Risk Sharing, the Exchange Rate and Net Foreign Assets in a World Economy with Uncertainty Shocks," 2016 Meeting Papers 721, Society for Economic Dynamics.
  129. Orlik, Anna & Veldkamp, Laura, 2014. "Understanding Uncertainty Shocks and the Role of Black Swans," CEPR Discussion Papers 10147, C.E.P.R. Discussion Papers.
  130. 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.
  131. Born, Benjamin & Pfeifer, Johannes, 2014. "Policy risk and the business cycle," Journal of Monetary Economics, Elsevier, vol. 68(C), pages 68-85.
  132. István Magas, 2011. "Financial liberalisation – The dilemmas of national adaptation," Public Finance Quarterly, State Audit Office of Hungary, vol. 56(2), pages 214-240.
  133. Fogli, Alessandra & Perri, Fabrizio, 2015. "Macroeconomic volatility and external imbalances," Journal of Monetary Economics, Elsevier, pages 1-15.
  134. Niko Hauzenberger & Maximilian Bock & Michael Pfarrhofer & Anna Stelzer & Gregor Zens, 2018. "Implications of Macroeconomic Volatility in the Euro Area," Papers 1801.02925, arXiv.org.
  135. Leduc, Sylvain & Liu, Zheng, 2016. "Uncertainty shocks are aggregate demand shocks," Journal of Monetary Economics, Elsevier, pages 20-35.
  136. 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, pages 1-17.
  137. 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.
  138. Baltasar Manzano & Luis Rey, 2012. "The Welfare Cost of Energy Insecurity," Working Papers fa07-2012, Economics for Energy.
  139. 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.
  140. Zheng Liu & Sylvain Leduc, 2013. "Uncertainty Shocks Are Aggregate Demand Shocks," 2013 Meeting Papers 270, Society for Economic Dynamics.
  141. Malkhozov, Aytek, 2014. "Asset prices in affine real business cycle models," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 180-193.
  142. Gourio, François, 2012. "Macroeconomic implications of time-varying risk premia," Working Paper Series 1463, European Central Bank.
  143. Grey Gordon & Pablo Guerron-Quintana, . "Dynamics of Investment, Debt, and Default," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics.
  144. P. Lopez, 2014. "The Term Structure of the Welfare Cost of Uncertainty," Working papers 521, Banque de France.
  145. Rangan Gupta & Chi Keung Marco Lau & Mark E. Wohar, 2016. "The Impact of US Uncertainty on the Euro Area in Good and Bad Times: Evidence from a Quantile Structural Vector Autoregressive Model," Working Papers 201681, University of Pretoria, Department of Economics.
  146. Dew-Becker, Ian & Giglio, Stefano & Le, Anh & Rodriguez, Marius, 2017. "The price of variance risk," Journal of Financial Economics, Elsevier, vol. 123(2), pages 225-250.
  147. 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.
  148. Anh Nguyen, 2015. "Financial frictions and the volatility of monetary policy in a DSGE model," Working Papers 75949436, Lancaster University Management School, Economics Department.
  149. Ryan Kellogg, 2014. "The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling," American Economic Review, American Economic Association, pages 1698-1734.
  150. Escudé, Guillermo J., 2013. "A DSGE model for a SOE with systematic interest and foreign exchange policies in which policymakers exploit the risk premium for stabilization purposes," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), pages 1-110.
  151. 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.
  152. Ceyhun Bora Durdu & Ricardo Nunes & Horacio Sapriza, 2010. "News and sovereign default risk in small open economies," International Finance Discussion Papers 997, Board of Governors of the Federal Reserve System (U.S.).
  153. repec:eee:moneco:v:91:y:2017:i:c:p:52-68 is not listed on IDEAS
  154. Guerron-Quintana, Pablo A., 2013. "Common and idiosyncratic disturbances in developed small open economies," Journal of International Economics, Elsevier, pages 33-49.
  155. Dongya Koh & Raül Santaeulàlia-Llopis, 2017. "Countercyclical Elasticity of Substitution," Working Papers 946, Barcelona Graduate School of Economics.
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