specific language like 'fear', 'risk', 'hedging', 'opinion', and, 'crisis', as well as 'positive' and 'negative' sentiments, in …

Recession. We find that uncertainty shocks have a significant impact on economic activity in the UK, depressing industrial … industrial production during the Great Recession …

Emerging markets business cycle models treat default risk as part of an exogenous interest rate on working capital …

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for …

develop a macro-financial structural model with two novel features. First, we include idiosyncratic and aggregate risk in a …

This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic … financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard … of out-of sample forecasting power for tail risk realizations of real activity for several countries, suggesting the …