general equilibrium (DSGE) model. We provide full-information Bayesian estimation of the DSGE model using macroeconomic … variables and extract the time-series of four latent fundamental shocks of the model: neutral technology shock, investment …-specific technological shock, monetary policy shock, and risk shock. Asset pricing tests show that our model-implied four-factor model can …

the current monetary policy stance has larger effects on stock prices, volatility and economic policy uncertainty, and …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

In this paper, I use high-frequency financial market estimates to identify the monetary policy shock in a non …

economy. We show that a systematic central bank reaction on financial market developments dampens macroeconomic volatility …

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …