We use two market-based measures of inflation compensation to explore the transmission mechanism of monetary policy to inflation markets. New information about the Fed's monetary policy stance becomes available on the days of meetings of the Federal Open Market Committee (FOMC) and is reflected...

I explore the term structure of interest rates, inflation expectations, and inflation risk premia in an endogenous inflation economy. I illustrate the implications of such an economy in a macro-finance model in which the Taylor rule shock and consumption growth have Markov-switching dynamics. A...

We examine the transmission mechanism of monetary policy to inflation markets. We decompose monetary policy shocks in the United States into two orthogonal channels: the policy channel, measured by the change in 2-year nominal Treasury yield, and the communication channel, measured by the...

We propose an asset pricing model where preferences display generalized disappointment aversion (Routledge and Zin, 2009) and the endowment process involves long-run volatility risk. These preferences, which are embedded in the Epstein and Zin (1989) recursive utility framework, overweight...

We propose an asset pricing model where preferences display generalized disappointment aversion (Routledge and Zin, 2009) and the endowment process involves long-run volatility risk. These preferences, which are embedded in the Epstein and Zin (1989) recursive utility framework, overweight...

We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability regressions. The model produces first and second moments of...

Theoretical risk factors underlying time-variations of risk premium across asset classes are typically unobservable or hard to measure by construction. Important examples include risk factors in Long Run Risk [LRR] structural models (Bansal and Yaron 2004) as well as stochastic volatility or...

We propose a new methodology for modeling and estimating time-varying downside risk and upside uncertainty in equity returns and for assessment of risk--return trade-off in financial markets. Using the salient features of the binormal distribution, we explicitly relate downside risk and upside...