Economic policy uncertainty and executive turnover

Economic policy uncertainty and firm-level investment

This paper examines the effect of economic policy uncertainty and its components on firm-level investment. It is found that economic policy uncertainty in interaction with firm-level uncertainty depresses firms’ investment decisions. When firms are in doubt about costs of doing business due to possible changes in regulation, cost of health care and taxes, they become more guarded with investmen...

Monetary Policy Uncertainty and Economic Fluctuations

We investigate the relationship between uncertainty about monetary policy and its transmission mechanism, and economic fluctuations. We propose a new term structure model where the second moments of macroeconomic variables and yields can have a first-order effect on their dynamics. The data favors a model with two unspanned volatility factors that capture uncertainty about monetary policy and t...

Economic Policy Uncertainty & Asset Price Volatility∗

We document that fear about misspecified economic and central bank policies explain 45% of variations in bond option implied volatilities and interest rate volatilities. We endogenize this empirical pattern with a parsimonious equilibrium asset pricing model. In equilibrium, volatility is endogenously driven by fear of not knowing the data generating process that drives future economic and futu...

The executive turnover risk premium

Executive compensation has increased dramatically over the past 15 years, but so has forced CEO turnover. We argue that part of the development of CEO pay can be explained by the adverse consequences that forced turnover implies for a CEO. We find that for the CEOs of the largest US corporations, a one percentage point increase in exogenous turnover risk is associated with $40,000 to $90,000 mo...

Does Economic Policy Uncertainty Forecast Real Housing Returns in a