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 …

This paper attempts to identify how monetary policy shocks affect stock prices by using Mundell and Fleming's theory of … the "Impossible Trinity". According to this theory, it is impossible to simultaneously have a fixed exchange rate, free … this theory because the HK dollar has been pegged to the U.S. dollar since 1983 and Hong Kong does not impose any capital …

.S. stock prices. To overcome this bias, we propose a new identification method based on the "Impossible Trinity" theory which …

Fleming's “Impossible Trinity” theory. Our identification strategy seeks to solve the simultaneity and omitted variable … shocks. Our results so far do not support this hypothesis, which seems to contradict the financial accelerator theory …

This paper examines the "bad luck" explanation for changing volatility in U.S. inflation and output when agents do not … volatility without the need for changes in the variance of the underlying shocks. Bad luck is modeled into a standard New … explain the Great Moderation, the New Keynesian model with volatility regime switching and dynamic gain learning is estimated …

break-even inflation rates when market volatility is high. Our model’s ability to be updated weekly makes it suitable for … real-time monetary policy analysis. -- Affine term structure models ; inflation expectations ; stochastic volatility …