Leveraged and inverse exchange-traded funds (ETFs) have been heavily criticized for exacerbating volatility in … large in magnitude and, therefore, mitigate the potential for these products to amplify volatility. We also show …

Margin regulation raises two policy concerns. First, an alignment of margins to volatility can amplify procyclicality … following volatility spikes but does not immediately lower margins following volatility declines, implying that margin …

, uncertainty plays a large role in the term structure and is the driver of counter-cyclical volatility of asset returns. …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 …

-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 …

An emerging and influential literature finds a large and significant decline in macroeconomic volatility since the … middle of the 1980's. In this paper, I examine the extent to which the decline in annual and quarterly real output volatility … since the onset of this period of Great Moderation can be attributed to changes in macroeconomic uncertainty and …

.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. …