We study equity price volatility in general equilibrium with news shocks about future productivity and monetary policy … asset price volatility. We show that introducing news shocks in a canonical dynamic stochastic general equilibrium model may … not reduce asset price volatility under plausible parameter assumptions. This is because, in general equilibrium, the …

This paper provides a new argument for “shock” versus “gradualism” in the implementation of trade policies. In the … an import tariff either immediately as an unanticipated shock, or gradually over a preannounced length of time. The …

studies warn that increasing the precision of public information may raise the volatility of some aggregate variables - in … imperfect common knowledge due to a more precise common signal always compensates the potential rise in aggregate volatility …

portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules … optimal to sell many higher-risk assets when a shock to one asset occurs …

The literature on leverage until now shows how an increase in volatility reduces leverage. However, in order to explain … pro-cyclical leverage it assumes that bad news increases volatility. This paper suggests a reason why bad news is more … often than not associated with higher future volatility. We show that, in a model with endogenous leverage and heterogeneous …

negative shock to economic activity in the late 1980s caused agents to discount market fundamentals. For Turkey and Pakistan it …