Central bank characteristics are important determinants of stock market returns and their volatility. While the … central bank credibility on stock market returns' volatility. A panel regression using financial and macroeconomic data from … stock exchange returns' volatility. The results indicated that credibility reduces stock returns' volatility, remaining …

and implied volatility of T-bonds and survey forecasts of GDP growth and inflation. We find relatively stable inflation …We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term … risk premia averaging at 40bps at the long-end, and which are strongly related to the volatility factor and conditional …