This paper proposes a multivariate stochastic volatility-in-vector autoregression model called the conditional … data so they are associated with changes in the volatility of the shocks hitting the macroeconomy. Second, we advance a new …

We document strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982 … policy and shocks with time-varying volatility. The decline is consistent with changes in both policy and shock dynamics …. While an increase in the response to inflation in the interest-rate policy rule decreases volatility, more persistent and …