This paper investigates the structural relationships between monetary policy and stockreturns. We build an asset pricing model incorporating a standard Taylor rule into aconsumption-CAPM framework. Our model quantitatively explains the negative riskpremium of expansionary monetary policy. As...

This paper examines the dynamic response of the global five Fama-French factors and momentum factor to three types of shocks from the US: growth, monetary policy, and risk premium shocks. The results show that although the market portfolio and small-minus-big style respond positively to good...

This paper investigates the structural relationships between monetary policy and stockreturns. We build an asset pricing model incorporating a standard monetary policy ruleinto a consumption-CAPM framework. Our model quantitatively explains the negativerisk premium of expansionary monetary...

This paper investigates the impacts of inflation uncertainty on inflation and economic activities. We take three steps. We first put together various measures of inflation uncertainty—including survey- and model-based - and extract a common inflation uncertainty for the group of seven advanced...