From QJE, by Alexandr Kopytov, Mathieu Taschereau-Dumoucheland Zebang Xu:
We propose a model in which risk, at the micro and macro levels, is endogenous and driven by incentives. In the model, each firm chooses the average and variance of its productivity process, as well as how it compares to the productivity of other firms. Aggregate risk arises when firms choose productivity processes that are related to one another. The theory predicts that larger firms and those with lower markups are less volatile and less correlated with aggregate productivity. We find support for these predictions in the data. Through their influence on risk-taking decisions, distortions such as taxes and markups can make GDP more stable in equilibrium. In the calibrated version of the model, removing distortions significantly reduces GDP volatility.
Fischer is black! (And my previous book Risk and Business Cycles). Via the excellent Kevin Lewis.