-varying disaster risk with perturbation, Taylor projection, and Smolyak collocation. Our main finding is that Taylor projection … generate solutions that suffer from accuracy problems and that Smolyak collocation can be costly in terms of run time and …

This paper studies how rare disasters and uncertainty shocks affect risk premia in DSGE models approximated to second … propositions for how rare disasters, stochastic volatility, and GARCH affect any type of risk premia in a wide class of DSGE models …

This paper studies the theoretical effects of changes in disaster risk on macroeconomic variables in five Latin … American economies. It compares country-specific variants of the New Keynesian model with disaster risk developed by Isoré and … less vulnerable to disaster risk shocks, as compared to Chile and Colombia in particular. Overall, the analysis suggests …

from limited liability and unobservable risk taking, distorts banks’ incentives leading them to choose excessively risky … investments. A monetary policy expansion magnifies these distortions, increasing excessive risk taking and lowering the expected … more inflation volatility in exchange for less volatility in risk taking and output. …

We quantify the size of fiscal multipliers under financial fragmentation risk and demonstrate how non-standard monetary … whereby the interplay of corporate, banks and sovereign solvency risk affect the transmission of fiscal policy. The output …