positively correlated with economic policy uncertainty, however, are negatively correlated with the monetary policy and fiscal … uncertainty for returns of the Dow-Jones Industrial Average (DJIA) and the S&P 500 Value stock index (VALUE), but negatively …

, gold is a risk free asset, as it has no covariation with the risk factors. The large average gold return is a Jensen …'s alpha, i.e., not explained by covariation with what modern asset pricing models consider risk factors, i.e., the market, the … growth, and the small firms risk factors …

estimates to account for parameter uncertainty. We find that for most European countries the dividend-price ratio and inflation …We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model … the long-horizon allocation. Parameter uncertainty plays a second-order role, dominated by strong variation in the dynamic …

We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the … driven by uncertainty of economic growth, inflation and general economic condition, and is confirmed in out-of-sample tests … news based MPU measure in Baker, Bloom, and Davis (2016) to capture monetary policy uncertainty, we find that MPU forecasts …

"Leverage Effect" in the returns of BIST-100 index. Therefore, one can say that political uncertainty is still a problem for the …

How do short and long term interest rates respond to a jump in financial uncertainty? We address this question by … conducting a local projections analysis with US monthly data, period: 1962-2018. The state-of-the-art financial uncertainty … particular, an increase in financial uncertainty is found to trigger a negative and significant response of both short and long …

How does the yield curve respond to a jump in financial uncertainty? We address this question by conducting a local … projections analysis with US monthly data, period: 1962- 2018. The state-of-the-art financial uncertainty measure proposed by … than that of the long end, i.e., a financial uncertainty shock causes a temporary steepening of the yield curve. This …