aggregate risk with entrepreneurs, and therefore bear uncertainty in their loan portfolios. Unexpected aggregate shocks will …

We discover sentiment-driven equilibria in popular models of imperfect risk sharing. In these equilibria, sentiment …-price declines; (ii) assetprice booms, with below-average risk premia, predict busts and financial crises. Methodologically, our …

This paper studies the effects of three financial shocks in the economy: a net-worth shock, an uncertainty or risk … shock, and a credit-spread shock. We argue that only the latter can push the nominal interest rate against its zero lower … bound. Further, a recessionary shock to the net worth or the credit spread generates a positive response for loans, which is …

real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this … estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a … shock to be able to explain about 60% of the output loss in the 2008-2014 period. The same estimated model unveils the role …