This study attempts to identify uncertainty in the long-term rate of interest based on the controversial interest rate …-form GARCH-in-mean model assigned to six globally leading financial markets. The obtained results support Keynes's theory - the … macroeconomic variables without interest uncertainty are thus seriously incomplete. …

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I … extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they … expectations of real economic activity, uncertainty about real GDP growth, and downside and upside risks in housing starts and the …

, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …

. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In …This paper analyses changes in short-term interest rate expectations and uncertainty during ECB Governing Council days … triggering an adjustment process for interest rate expectations. - Risk-neutral probability density functions ; option …

. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In …This paper analyses changes in short-term interest rate expectations and uncertainty during ECB Governing Council days …

We find that macroeconomic uncertainty plays a significant role in U.S. monetary policy. First, we construct a measure … of uncertainty as felt by policymakers at the time of making their rate-setting decisions. This measure is derived from a … real-time, Bayesian estimation of a small monetary VAR with time-varying parameters. We use it to calculate the probability …

This article explores the macroeconomic role that risk plays using the BAA-AAA spread as the measure of risk. First, it … the BAA-AAA spread in a structural vector-autoregression (VAR) to identify a shock-to-risk and finds that it causes a …, it uses historical decompositions to show that the shock-to-risk explains an important part of the declines in output …

extraction and explanation of the source of term risk. These findings provide: (i) a detailed analysis of the incomplete market … paradigm that encapsulates inter-bank term rates and the risk management processes involved therein; and (ii) theoretical and …