We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost …

counterfactual stock market index price change that results purely from the change in the default-free yield curve induced by the … monetary policy surprise. The yield curve change in turn partly reflects a change in expected future short-term interest rates …/odd week FOMC cycle in stock index returns is also largely due to an FOMC cycle in the yield curve rather than the equity …

, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment … conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent … returns with respect to bills and bonds returns decreases as the investment horizon grows. They suggest that long …

equities returns ; Value at Risk ; investment horizon ; vector auto-regression …