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Asymmetric semi-volatility spillover effects in EMU stock markets

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230

Persistent link: https://www.econbiz.de/10012006352

Uncovered interest rate, overshooting, and predictability reversal puzzles in an emerging economy

Kiliç, Rehim - 2023 - This draft: August 2023

Persistent link: https://www.econbiz.de/10014490739

Measuring market expectations

Baumeister, Christiane - 2021

Asset prices are a valuable source of information about financial market participants.expectations about key macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the market’s rational assessment of future price and policy...

Persistent link: https://www.econbiz.de/10012622575

Volatility forecasting in European government bond markets

Özbekler, Ali Gencay; Kontonikas, Alexandros; … - In: International journal of forecasting 37 (2021) 4, pp. 1691-1709

Persistent link: https://www.econbiz.de/10013274332

The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom : evidence from over 150 years of data

Gupta, Rangan; Wohar, Mark E. - In: Economics and Business Letters : EBL 8 (2019) 3, pp. 138-146

Persistent link: https://www.econbiz.de/10012156567

The decline in asset return predictability and macroeconomic volatility

Hsu, Alex; Palomino, Francisco; Qian, Charles - 2017

We document strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982 … policy and shocks with time-varying volatility. The decline is consistent with changes in both policy and shock dynamics …. While an increase in the response to inflation in the interest-rate policy rule decreases volatility, more persistent and …

Persistent link: https://www.econbiz.de/10011709322

Gone with the vol : a decline in asset return predictability during the great moderation

Hsu, Alex; Palomino, Francisco; Qian, Liang - In: Management science : journal of the Institute for … 69 (2023) 5, pp. 3025-3047

Persistent link: https://www.econbiz.de/10014305476

Monetary policy uncertainty and jumps in advanced equity markets

Bouri, Elie; Gillas, Konstantinos Gkillas; Gupta, Rangan; … - In: Journal of risk 23 (2020/2021) 1, pp. 101-112

Persistent link: https://www.econbiz.de/10012500112

Monetary policy, bond returns and debt dynamics

Berndt, Antje; Yeltekin, Şevin - In: Journal of monetary economics 73 (2015), pp. 119-136

Persistent link: https://www.econbiz.de/10011381760

Stock return predictability and the role of monetary policy

Patelis, Alex D. - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 1951-1972

Persistent link: https://www.econbiz.de/10001232337

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