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 …

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 …

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 …

macroeconomic volatility. This generates a positive correlation between dividend yields and nominal yields and between stock and … bond returns. High levels of macro volatility in the late 1970s and early 1980s caused stock and bond returns to comove …

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 … the domestic market (expect in Japan). This study introduces the equity market volatility arising from inflation or the …