boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil …

spread while the return-forecasting (risk premium) factor is extracted by imposing a single factor structure on the one …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …

We investigate the international linkages of inflation uncertainty in the G7. In a first step, we document that … inflation uncertainty in the G7 is intertwined. Moreover, the degree of synchronization has increased during the recent two … international shock that drives national inflation uncertainty and which is closely related to oil and commodity price uncertainty …

This paper uses the European Commission's Consumer Survey to assess whether inflation expectations have converged and … whether inflation uncertainty has diminished following the introduction of the Euro in Europe. Consumers' responses to the … survey suggest that inflation expectations depend more on past national inflation rates than on the ECB's anchor for price …

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …

This paper investigates the relationship between inflation and inflation uncertainty in twelve EMU countries. A time …-varying GARCH model is estimated to distinguish between short-run and steady-state inflation uncertainty. The effects of the …-state inflation has generally remained stable, steady-state inflation uncertainty and inflation persistence have both increased, and …

boom yields consistently positive excess returns. This excess return compensates for the risk of high negative returns in … countries on risk aversion, and low (high) risk aversion currencies depreciate (appreciate) in times of global turmoil. …

variables, should not affect agents' expectations of inflation in the long term. Our estimated structural VARs show that both … long- and short-term inflation expectations are sensible to policy-related uncertainty shocks. A rise of long …-term inflation expectations in times of economic contraction, in response to such shocks, suggests that heightened policy uncertainty …

unspanned macro risk …