The paper investigates the effect of monetary policy uncertainty on stock return volatility. Contrary to the widely … accepted wisdom that higher uncertainty leads to higher volatility, we find that monetary policy uncertainty negatively … predicts stock return volatility both in and out of sample at the monthly frequency. The forecasting performance is robust even …

In this paper we study how volatility in monetary policy affects economic performance in the presence of endogenously … would be efficient. The equilibria that we find, with volatility and asymmetry of information, are inefficient for two …

The paper investigates the effect of monetary policy uncertainty on stock market volatility. Higher monetary … uncertainty leads to lower stock market volatility both in sample and out of sample. Monetary policy uncertainty matters more for … the volatility of big firms, profitable firms and past winner firms. The channel of future cash flow volatility helps …

-frequency identified monetary policy shocks with these measures of idiosyncratic shock volatility. We document a novel fact: monetary … policy has dampened real effects via the investment channel when firm-level TFP shock volatility is high. Our estimates for … dampening effects of volatility are statistically and economically significant - moving from the tenth to the ninetieth …