Large risk shocks give rise to cost-push effects in the canonical New Keynesian model. At the same time, monetary … shock volatility and the zero lower bound (ZLB) on interest rates. Optimal monetary policy calls for potentially sharp … reductions in the interest rate when risk is elevated, even if this risk never materialises. Close to the ZLB, small risk shocks …

In this paper I investigate the relation between macroeconomic risk and higher-moment risk premia. I use existing … methodology for kurtosis swaps. The expected excess returns on such swaps are interpreted as higher-moment risk premia. I find … evidence supporting an increase in tail risk when variance is low and expectations about economic growth are positive. In such …

We investigate the macroeconomic effects of political risk in an information-rich SVAR. Using an external instrument … based on an index of US partisan conflict for identification, we find that reduced political risk has expansionary impact …, the shock create an aggregate supply effect where output growth and inflation move in opposite directions, and generates a …