We find that high macroeconomic uncertainty is associated with greater accumulation of physical capital, despite a … reduction in investment and valuations. To reconcile this puzzling evidence, we show that uncertainty predicts lower … than raising investment. Through this novel intensive-margin mechanism, uncertainty shocks command a quarter of the equity …

mechanism then provides a rationale for discount factor first- and second-moment (“uncertainty”) shocks …

I connect interest rates, risk premia and welfare costs of long-run consumption uncertainty in a setting with Epstein … and Zin (1989) preferences. I find that long-run uncertainty can create significant welfare costs even when risk aversion …

constraints. We model granular uncertainty as the shocks that affect the uncertainty in future idiosyncratic productivity without … misallocation. Intuitively, an increase in granular uncertainty exacerbates the misallocation of credit as productive entrepreneurs …

We present a novel finding that high macroeconomic uncertainty is associated with greater accumulation of physical … capital, despite a contemporaneous reduction in investment. To reconcile this evidence, we show that high uncertainty predicts … the relationship between uncertainty, economic growth, and asset prices. In the model, precautionary saving is achieved by …

We find that high macroeconomic uncertainty is associated with greater accumulation of physical capital, despite a … reduction in investment and valuations. To reconcile this puzzling evidence, we show that uncertainty predicts lower … than raising investment. Through this novel intensive-margin mechanism, uncertainty shocks command a quarter of the equity …

puzzle". This article explores the pricing kernel under Knightian uncertainty driven by identifiable business cycles. In a … from equilibrium asset prices. By linking normal variance-mean mixtures with model uncertainty, we account for agents … facing uncertainty across a continuum of economic regimes. Our results show that the pricing kernel can either decrease …

volatility clusterng and persistence; and (3) Bayesian learning itself is unable to generate a significant and positive risk … premium once time variation in investment opportunities is accounted for; in most cases, Bayesian learning lowers the …