We investigate the regime-dependent and time-varying behavior of inflation expectations and the uncertainties of expectations in Turkey through threshold regressions, and lag-augmented vector autoregression (LA-VAR) based time-varying Granger causality tests. Results suggest state-dependent...

We mathematically show that no matter how many factors are augmented to Capital Asset Pricing Model (CAPM), beta will always matter. We also show that augmenting additional factors to single-factor CAPM requires market risk premia to be modeled as time-varying. In addition to allowing a...