using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model …, a GED-GARCH (1,1) procedure, is adopted to deal with the volatility clustering and fat tail features in bond return … estimation. The testing results indicate that the inflation rate has a negative effect on bond returns across different …

This paper studies the effects of FOMC communication on U.S. financial markets’ returns and volatility using a GARCH … and volatility is larger if the communication channel is more formal. However, since speeches happen much more often than …

future large-scale asset purchases (LSAPs). Estimation results show that monetary policy news has economically important and … highly significant effects on the level and volatility of energy futures prices and their trading volumes. I find that, on …