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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

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

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

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