upward movements in realized market return volatility. Common wisdom connects these spikes with elevated uncertainty on …

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 …

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