Economists both failed to predict the global financial crisis and underestimated its
consequences for the broader economy. Focusing on the second of these failures, this …

This paper examines the macroeconomic dynamics of the 2007-09 recession in the United
States and the subsequent slow recovery. Using a dynamic factor model with 200 variables …

Exploiting portfolio data and repeated surveys of an Italian bank's clients, we test whether
investors' risk aversion increases following the 2008 crisis. We find that, after the crisis, both …

During the recent financial crisis, corporate borrowing and capital expenditures fall sharply.
Most existing research links the two phenomena by arguing that a shock to bank lending (or …

We link investor heterogeneity to the persistence of the overnight and intraday components
of returns. We document strong overnight and intraday firm-level return continuation along …

This paper studies the pricing of volatility risk using the first-order conditions of a long-term
equity investor who is content to hold the aggregate equity market instead of overweighting …

This paper surveys the literature on the linkages between asset prices and macroeconomic
outcomes. It focuses on three major questions. First, what are the basic theoretical linkages …

We provide a critical review of macroeconomic models used for monetary policy at central
banks from a finance perspective. We review the history of monetary policy modeling, survey …

We document a highly significant, strongly nonlinear dependence of stock and bond returns
on past equity market volatility as measured by the VIX. We propose a new estimator for the …

Abstract The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing
our understanding of macrofinancial linkages, the two-way interactions between the real …