Episodes of unanticipated inflation reduce the real value of nominal claims and thus redistribute wealth from lenders to … borrowers. In this study, we consider redistribution as a channel for aggregate and welfare effects of inflation. We model an … inflation episode as an unanticipated shock to the wealth distribution in a quantitative overlapping-generations model of the U …

future changes in the rate of inflation. More recently, this relationship has been strengthened through the introduction of …-of-sample forecasting exercise. We find that three-regime models that allow for shifts in the inflation risk premium or real interest rate (or … both) are the most promising forecasting models of inflation when using the term structure. …

price volatility and “sentiment” fluctuations. We construct a general-equilibrium model of sentiment. In it, there are two …

discuss the relations between the results obtained and the phenomenon of ”volatility-induced growth” in stationary markets. …

existing methods lies in its straightforward application to models with stochastic volatility and stochastic interest rates. We … exploit this advantage by providing an analysis of the impact of volatility mean-reversion, volatility of volatility, and …

In this paper we construct arbitrage-free market models of stochastic volatility type for one stock, one bank account …-option market models with a prespecified volatility structure. …

and economically strong effect on the implied volatility of currency options, on the shap e of the implied volatility … smile, on the volatility risk-premia, and on future currency returns. We do cument that the volatility of macro economic …

We examine empirically the response of bond returns and their volatility to good and bad macroeconomic news in economic … expansions. During recessions, inflation news are relatively more important when they contain good news. We also document that … macroeconomic news impacts substantially the volatility of bond returns at all maturities by increasing jump intensities and by …

inflation target. In contrast, I show that the standard New Keynesian monetary model predicts that nominal interest rates should …