Much recent business cycle research focuses on moments of macroeconomic aggregates. We construct examples of real business cycle sample paths for output, consumption, and employment for the U.S. economy. Annual sample paths are generated from an initial condition in 1925, measured technology and...

The authors examine the relationship between changes in short-term interest rates induced by monetary policy and the yields on long-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are puzzling from the perspective of...

We investigate the dynamic portfolio problem of a market-maker for a derivative security whose preferences exhibit uncertainty aversion (Knightian uncertainty). The Choquet-expected utility implied by such preference is used to capture the feature that the trader is uncertain about which model...

Much recent business cycle research focuses on moments of macroeconomic aggregates. We construct examples of real business cycle sample paths for output, consumption, and employment for the U.S. economy. Annual sample paths are generated from an initial condition in 1925, measured technology and...