I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … unemployment rate. In addition, factors provide information about bond risk premia variation that is largely unrelated to that …

time-varying, asymmetric, and partly predictable. Tight financial conditions forecast downside growth risk, upside … unemployment risk, and increased uncertainty around the inflation forecast. Growth vulnerability arises as the conditional mean and …

activity to a financial uncertainty shock during the great recession. We replicate this evidence with an estimated DSGE … real activity of an uncertainty shock under different Taylor rules estimated with normal times vs. great recession data … (the latter associated with a stronger response to output). We find that the uncertainty shock-induced output loss …

constructed metric in a simple VAR framework I show that real effects are there, that shock to the volatile uncertainty causes … significant downturn/overshoot pattern, and that shock to the persistent component causes severe and prolonged damage …