the period 1972:1-2014:12 to forecasts our tail risk indicators with each model in pseudo-real time. Our key finding is …

forecasting accuracy significantly. Higher uncertainty is found to increase the leverage and macro effects from credit and … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …

A large literature suggests that the expected equity risk premium is countercyclical. Using a variety of different … measures for this risk premium, we document that it also exhibits growth asymmetry, i.e. the risk premium rises sharply in … which agents cannot perfectly observe the state of current productivity, can generate the observed asymmetry in the risk …

expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of …. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model … content of indicators, while higher fundamental uncertainty makes this informational content more valuable. …

uncertainty of a combined forecast should be interpreted as that of a typical forecaster randomly drawn from the pool. With a … standard factor decomposition of a panel of forecasts, we show that the uncertainty of a typical forecaster can be expressed as … some previously used measures significantly underestimate the conceptually correct benchmark forecast uncertainty. …

-level uncertainty and imperfect information over their life cycle. We find that firms make non-negligible and positively correlated … informed. Moreover, young firms tend to wait long before entering or exiting the market faced with high uncertainty about their … demand. The former learning effect, combined with the latter real-options effect, adversely affect firms' entry decisions and …

) to estimate forecast uncertainty, shocks and discord using information framework, and compare these with moment … ex ante "news" or "uncertainty shocks" in real time, and find that this 'news' is closely related to revisions in … forecast means, countercyclical, and raises uncertainty. Using standard vector auto-regression analysis, we confirm that …

of uncertainty as felt by policymakers at the time of making their rate-setting decisions. This measure is derived from a …We find that macroeconomic uncertainty plays a significant role in U.S. monetary policy. First, we construct a measure … of being in a high-uncertainty regime. Second, we estimate a monetary policy reaction function that, apart from …

of financial uncertainty over the period 1969-2008. We find evidence in favor of a systematic response to financial … uncertainty over and above that to expected inflation, output gap, and output growth. However, this evidence regards the Greenspan …-Bernanke period only. Focusing on this period, the "risk-management" approach is found to be responsible for monetary policy easings …

In this paper we use an experiment to compare a theory of risk aversion and a theory of spite as an explanation for … overbidding in auctions. As a workhorse we use the second-price all-pay and the first-price winner-pay auction. Both risk and … spite can be used to rationalize deviations from risk neutral equilibrium bids in auctions. We exploit that equilibrium …