We identify the relative importance of changes in the conditional variance of fundamentals (which we call "uncertainty … premiums. Theoretically, we introduce persistent time-varying uncertainty about the fundamentals in an external habit model …, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns. …

-off at the heart of the story. I modify the model to account for data uncertainty and find that doing so ameliorates the … existing problems. This suggests that the Fed's model uncertainty is largely overestimated by ignoring data uncertainty …

uncertainty surrounding the outlook. To this end, FOMC participants will now provide qualitative assessments of how they view the … degree of current uncertainty relative to that which prevailed on average in the past. This paper discusses a method for … gauging the average magnitude of historical uncertainty using information on the predictive accuracy of a number of private …

since the onset of this period of Great Moderation can be attributed to changes in macroeconomic uncertainty and … from a fixed parameter autoregressive model overstates the decline in macroeconomic uncertainty by between 20-40 percent. I … point forecast data, these probability forecasts indicate that the decline in macroeconomic uncertainty as measured from an …

.S. economy where the policymaker faces uncertainty about model parameters. Uncertainty about parameters describing preferences … and technology implies not only uncertainty about the dynamics of the economy. It also implies uncertainty about the model … characteristics and performance of alternative monetary policy rules given the estimated uncertainty regarding parameter estimates. We …

compare these optimal rules against plausible alternatives. Model uncertainty is shown to be a substantial problem; the … rules are robust to model uncertainty may be an overly sanguine conclusion. …

incorporate contemporaneous uncertainty. …

We investigate the empirical relationship between company investment and measures of uncertainty, controlling for the … effect of expected future profitability on current investment decisions. We consider three measures of uncertainty derived … for at least four consecutive years between 1982 and 1999. The results show that all three measures of uncertainty are …