relax collateral constraints today, leading to a boom before the realization of the shock. But reallocation of capital … toward the secondary sector when the shock hits leads to a bust going forward. These cycles are perfectly foreseen in our …

relax collateral constraints today, leading to a boom before the realization of the shock. But reallocation of capital … toward the secondary sector when the shock hits leads to a bust going forward. These cycles are perfectly foreseen in our …

This paper proposes a predictive approach to estimate macroeconomic tail risk dynamics over the long run (1876 … of rare disasters models. Our macro risk estimates covary with asset prices and forecasts future stock returns, in line … with the prediction that macroeconomic tail risk drives the equity premium. A rare disaster model, calibrated from …

parameter estimates, especially those that affect the risk of a black swan, explain most of the shocks to uncertainty …

provides a data-disciplined theory of belief formation that explains large fluctuations in uncertainty. It argues that people … uncertainty fluctuations. We use theory and data to show how small changes in estimated skewness whip around probabilities of … swan risk explain most of the fluctuations in uncertainty …