rates in Turkey for the inflation-targeting period. Empirical evidence suggests that (i) all interest rates respond to a …

This study attempts to identify uncertainty in the long-term rate of interest based on the controversial interest rate …-form GARCH-in-mean model assigned to six globally leading financial markets. The obtained results support Keynes's theory - the … macroeconomic variables without interest uncertainty are thus seriously incomplete. …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … expectations of real economic activity, uncertainty about real GDP growth, and downside and upside risks in housing starts and the …

for macroeconomic outcomes? Using an affine term structure model, we shed new light on these questions. Estimation is … subject to restrictions addressing an estimation bias in expected interest rates obtained by previous studies. Highfrequency … the transmission mechanism and broadly consistent with macroeconomic theory. …

, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …

margins, but credit and interest rate risk increase. Portfolio rebalancing implies relatively more lending, also compared to … an earlier rate cut within positive territory, and risk-taking reduces regulatory capital cushions and liquidity. …