output changes. In the euro area investment is the predominant driver of output changes, while in the U.S. consumption shifts … several potential explanations for it. While the evidence seems to point at differences in consumption responses, rather than … investment, as the proximate cause for this fact, the source of the consumption difference remains a puzzle. …

-varying consumption volatility risk is essential for obtaining the inversion of the real curve and allows to price the average level and …We propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In … our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times …

A large empirical literature suggests that risk premia on stocks or corporate bonds are large and countercyclical. This … paper studies a simple real business cycle model with a small, exogenously time-varying risk of disaster, and shows that it … can replicate several important facts documented in the literature. In the model, an increase in disaster risk leads to a …

funding liquidity risk in their inter- mediation activity. Importantly, the amount of liquidity reserves held in the financial …

overoptimistic. We find that it is difficult to generate a boom-bust cycle (a period in which stock prices, consumption, investment …

domestic currency. This assumption implies merging the commodity risk with the exchange rate risk when oil and stocks are … concept, to assess how could change the stock market response depending on the source of risk that moves oil prices. I apply …-related scenario in euros could generate an opposite impact in the European stock market depending on the source of risk. The source of …