probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

movements in both equity and bond euro area markets, suggesting that integration has progressed since the introduction of the … euro. However, while the correlations in bond markets reaches almost one for all euro area countries, co-movements in …

economy. Romer and Romer (2000) found that the Fed reveals information about inflation when it tightens monetary policy. Their … exclude the Fed's revelation of its asymmetric information about future inflation. …

kernel smoothing of the conditional mean function. An asymptotic theory for the resulting kernel estimator is developed and …

conditioning on skewness increases the predictive power of the volatility spread and that coefficient estimates accord with theory … of the volatility spread to skewness. We measure skewness from option prices and test these predictions. We find that … the term structure of option-implied volatility, skewness and kurtosis and find that time-dependence in returns has a …

autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term … the model based on U.S. government bond yields applying Markov chain Monte Carlo techniques we find that the yield factors … and factor volatilities follow highly persistent processes. Using the extracted factors to explain one-year-ahead bond …

We assess the effect of aggregate stock market illiquidity on U.S. Treasury bond risk premia. We find that the stock … robust to and is not driven by information from open interest in the futures market, long-run inflation expectations …