volatility data from options of 30 days to 10 years duration. We ask what may be driving uncertainty over these different time … horizons, finding that oil price volatility is particularly important for short-run uncertainty, policy uncertainty is … particularly important for long-run uncertainty, while currency volatility and CEO turnover appear to equally impact short- and …

markets on the cost of macroeconomic volatility there. We find that macroeconomic volatility has a potentially large impact on … industries with costly capacity, the multinationals would tend to invest in the more stable emerging markets. Higher volatility …

tracking current economic conditions. We apply the technique to extract real-time measures of inflation, output, employment …

reinforcing effects. In our model, capital controls reduce macroeconomic volatility and increase standard measures of consumer …

stimulus mostly generates inflation rather than output growth. To do this, I construct price-setting models with "volatility …Is monetary policy less effective at increasing real output during periods of high volatility than during normal times …? In this paper, I argue that greater volatility leads to an increase in aggregate price flexibility so that nominal …

flattens at low inflation. Macroeconomic volatility shifts the curve outward and reduces output. The results imply that …-run Phillips curve which relates average output gap to average wage inflation: it is virtually vertical at high inflation and … stabilization policies play an important role, and that optimal inflation may be positive and differ across countries with different …

This paper develops a theory of expectations-driven business cycles based on learning. Agents have incomplete knowledge … consumption and leisure. Output volatility is comparable with a rational expectations analysis with a standard deviation of … technology shock that is 20 percent smaller, and has substantially more volatility in investment and hours. Persistence in these …

-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are …, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. We study the … properties of the yield curve when inflation is an exogenous process and compare this to the yield curve when inflation is …

-order effect on their dynamics. The data favors a model with two unspanned volatility factors that capture uncertainty about … react in opposite directions to a shock to the real economy, and the response of inflation to uncertainty shocks vary across …

-pricing theory, is calibrated to analyze the effects of monetary policy and financial innovation. We show that inflation can raise … output, employment and investment, plus improve housing and stock markets. For the baseline calibration, optimal inflation is …