. As a result macro aggregates as well as asset prices are subjected to expectations about future economic growth not only … estimated model is able to predict the lead of equity returns over output growth and investment growth as observed in U.S. data …

What is the source of interest rate volatility? Why do low interest rates precede business cycle booms? Most observers …

This paper provides an extensive analysis of the predictive ability of financial volatility measures for economic … activity. We construct monthly measures of aggregated and industry-level stock volatility, and bond market volatility from … daily returns. We model log financial volatility as composed of a long-run component that is common across all series, and a …

time-series, the model matches the procyclicality and volatility of housing investment, and the procyclicality of mortgage … and lower downpayments, and find that these two changes can explain, in the model and in the data, the reduced volatility … of housing investment, the reduced procyclicality of mortgage debt, and a small fraction of the reduced volatility of GDP …

We document how firm-specific volatility in sales, earnings and employment growth evolved year by year in Japan. Our … volatility measure also indicates the evolution of firm turnover. We find that patterns in firm-specific volatility have changed …. Firm volatility tended to decline during the recovery after 2002. We assess whether the rise in firm turnover and deep …

expectations of economic agents about the future state of the economy. In this paper, we test whether interest rate volatility … propose using a forward-looking measure of volatility: the implied volatility of one year cap options. We find that implied … volatility adds explanatory power to the yield spread and to changes in the short rate, which are typical predictors of the …