, 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 …

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 …

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 …

, 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 …

, 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 …

We ask whether uncertainty about interest rates is important for economic activity. Causal effects of uncertainty on … the economy are examined through the lens of a small VAR where the assumption that uncertainty and real activity cannot … contemporaneously react to each other is indeed in line with the data. Our measure of uncertainty stems from professional forecasts of …

We ask whether uncertainty about interest rates is important for economic activity. Effects of interest rate … uncertainty on the economy are examined through the lens of a small VAR where the assumption that uncertainty can affect real … activity contemporaneously but not vice versa is indeed in line with the data. Our measure of uncertainty stems from …

This study attempts to identify uncertainty in the long-term rate of interest based on the controversial interest rate … macroeconomic variables without interest uncertainty are thus seriously incomplete. …