This paper examines the association between option-implied interest rate distributions and macroeconomic expectations in the context of a forward-looking monetary policy rule. We presume that market participants view the policy rule as a guide to the path of future policy rates and price...

This paper examines the impact of inflation and economic growth expectations and perceived stock market uncertainty on the time-varying correlation between stock and bond returns. The results indicate that stock and bond prices move in the same direction during periods of high inflation...

This paper examines the relationship between stock returns and the sources of corporate debt during the financial crisis of 2008. In particular, using data on large-capitalization Russian firms, we investigate whether dependence on either bank debt or bonds affected stock returns during the...

This paper focuses on the effects of political uncertainty and the political process on implied stock market volatility during U.S. presidential election cycles. Using monthly Iowa Electronic Markets data over five elections, we document that stock market uncertainty, as measured by the VIX...