Long-run asset-pricing restrictions in a macro term-structure model identify discretionary monetary policy separately from a policy rule. We find that policy discretion is an important contributor to aggregate risk. In addition, discretionary easing coincides with good news about the...

Using confidential regulatory firm-bank-loan level data from the U.S., we document four new facts about the credit market. First, private SMEs typically utilize all available bank credit which comprises their entire balance sheet debt, compared to large listed firms who can switch between...

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has...