We study the relationship between monetary policy and long-term rates in a structural, general equilibrium model estimated on both macro and yields data from the United States. Regime shifts in the conditional variance of productivity shocks, or "uncertainty shocks", are an important model...

We analyze the relationship between the stance of Eurozone monetary policy and the implicit risk aversion in the European Stock market prices. We use a structural vector autoregression (SVAR) model as Bekaert et al. (2013) do for the U.S. market. We adapt this model for the European Stock market...

We explore empirically the transmission of U.S. financial and macroeconomic uncertainty to emerging market economies (EMEs). We start by assuming that there are crucial differences between volatility and uncertainty, and between the latter and its shocks. With the help of Bayesian vector...

We use a unique Brazilian dataset on daily survey expectations to obtain direct measures of shocks to central bank target rates and changes in economic uncertainty. Using these measures, we gauge the effect of monetary policy shocks on economic uncertainty, term premia, inflation expectations,...

An extensive literature studies the impact of monetary policy surprises---shifts in expected policy rates---on asset prices. This paper addresses the open question of how shifts in the uncertainty about future policy rates matter for the transmission of monetary policy to financial markets. To...

Recent advances in the use of high-frequency external instruments to separate the signaling channel of monetary policy from exogenous interest rate changes have solved a number of puzzling responses to supposedly contractionary monetary policy shocks. We show that their effects on U.S. banks'...

Uncertainty at the firm-level falls on FOMC announcement days with substantial variation both across firms and over time. We find that this movement is not related to surprises about the expected path of the policy rate but rather to forward guidance driven changes in uncertainty around the...

The complexity resulting from intertwined uncertainties regarding model misspecification and mismeasurement of the state of the economy defines the monetary policy landscape. Using the euro area as laboratory this paper explores the design of robust policy guides aiming to maintain stability in...