- The Macroeconomic Implications of Financial Volatility: The Role of Uncertainty and Risk Aversion. Working Paper. 2021. Currently under review. Link
Abstract: Financial volatility shocks can either be due to a physical change in risk, that is an uncertainty shock, or changes in agents preferences towards risk, that is a risk aversion shock. I identify these two shocks in a proxy SVAR setting using set identification. In particular, I use volatility events and a narrative approach to develop two new proxies that can be used jointly to identify exogenous variations in uncertainty and risk aversion. I find that the Great Financial Crisis is more associated with risk aversion shocks and that the COVID recession coincides with large uncertainty shocks.
Work in progress
- CIP and UIP deviations in Switzerland. Work in progress.
- A Dynamic Factor Model to forecast Swiss GDP. Work in progress