information from the yield curve. We find important changes in the dynamics of macroeconomic variables such as inflation and the … variables. The monetary policy shocks of the early 1980s explain a large portion of the persistence of inflation and the level … ; inflation expectations ; credibility building ; evidence on expectations hypothesis …

increase after a positive shock to core inflation uncertainty in a vector autoregression. Endogenous changes in household … inflation expectations help to understand the transmission mechanism through which an inflation uncertainty shock generates …The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level …

innovation to stock return correlation in a vector autoregression are nearly identical to those of a news shock about future …

, premium components are less reactive to inflation shocks, while real rate responses change their sign from positive to …

monetary policy shock. In line with a re-anchoring channel of monetary policy, we find that long-term inflation expectations …This paper empirically investigates the role of long-term inflation expectations for the monetary transmission … mechanism. In contrast to earlier studies, we confirm that U.S. long-term inflation expectations respond significantly to a …

We estimate the effects of a negative asymmetric demand shock on the real exchange rate for the euro area vis-à-vis the … output, confirming its shock-absorbing capacity before and during the ZLB episode. The stabilizing role of the exchange rate …

We extend the canonical income process with persistent and transitory risk to shock distributions with left …-skewness and excess kurtosis, to which we refer as higher-order risk. We estimate our extended income process by GMM for household … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …