Risk Matters: The Real Effects of Volatility Shocks

By Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramirez, Martin Uribe. 2009

188 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/0c2ad0154338ffe2fdc54a7ed73a9f8defeb95ad

Citations in the corpus

• The Impact of Brexit on UK Firms (2019, unknown): “First is the literature on uncertainty, for example, Bernanke (1983), Dixit and Pindyck (1994), Fernandez-Villaverde et al. (2011), Arellano et al. (2018) and Basu and Bundick (2017).”
• Economic uncertainty and bank risk: Evidence from emerging economies (2020, unknown): “Berger and DeYoung (1997), Fiordelisi et al. (2011) and many others have documented a positive relationship between banks’ inefficiency and their riskiness.”
• Does Uncertainty Reduce Growth? Using Disasters as Natural Experiments (2013, unknown): “…no jump in the days after compared to the days before the event.4 3For example, Bloom (2009), Christiano et al. (2014), Arslan et al. (2015), Fernández-Villaverde et al. (2011) and Alexopoulos and Cohen (2009) report a large impact of uncertainty on recessions in their VARs, while Bachmann…”
• Fluctuations in Uncertainty (2014, unknown): “In their models and a related paper by Fernandez-Villaverde et al. (2013) uncertainty is particularly damaging if other policy tools – like interest rates - are ineffective, because interest rates are constrained at zero.”
• Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence (2012, unknown): “Our paper is related to a large body of work in macroeconomics that studies long-run properties of output growth (Nelson and Plosser, 1982; Campbell and Mankiw, 1989; Cochrane, 1988; Cogley, 1990; Aguiar and Gopinath, 2007) and variation in the volatility of output growth (McConnell and Perez-Quiros”
• The Price of Variance Risk (2015, unknown): “First, there is the recent work in macroeconomics on the consequences of shocks to volatility, such as Bloom (2009), Bloom et al. (2014), Christiano, Motto, and Rostagno (2014), Fernandez-Villaverde et al. (2011), and Gourio (2012, 2013).”
• Uncertainty Shocks in a Model of Effective Demand (2011, unknown): “As discussed in Fernández-Villaverde et al. (2011), examining the impulse response to a second-moment shock requires at least a third-order approximation of the policy functions of the model.”
• Disasters Risk and Business Cycles (2012, unknown): “, Hall 1988, but see Section IVF), but this view has been challenged by several authors (see among others Bansal and Yaron 2004, Guvenen 2006, Gruber 2006, Mulligan 2004, Vissing-Jorgensen 2002, Fernández-Villaverde et al. 2010). As emphasized by Bansal and Yaron (2004), a low IES has the counterint”
• The Effect of Uncertainty on Investment: Evidence from Texas Oil Drilling (2014, unknown): “Another set of papers in the macroeconomics literature measures the response of aggregate output and investment to changes in economy-wide uncertainty, as measured by the volatility of stock market returns or interest rates (Hassler 2001; Alexopoulos and Cohen 2009; Bloom 2009; and Fernández-Villave”
• Level and Volatility Factors in Macroeconomic Data (2017, unknown): “2 See, for example, Schmitt-Grohe and Uribe (2004) , Kim et al. (2008) , Bloom (2009) , Fernández-Villaverde et al. (2011) , Fernandez-Villaverde et al. (2015) , Jurado et al. (2015) and references there in. http://dx.doi.org/10.1016/j.jmoneco.2017.09.004 0304-3932/© 2017 Elsevier B.V.”