link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses …Asset pricing models assume the risk-free rate to be a key factor for equity prices. Hence, there should be a strong … for equity variance and volatility at weekly, monthly and even quarterly horizons. The findings imply that market views of …

The paper investigates the effect of monetary policy uncertainty on stock market volatility. Higher monetary … uncertainty leads to lower stock market volatility both in sample and out of sample. Monetary policy uncertainty matters more for … the volatility of big firms, profitable firms and past winner firms. The channel of future cash flow volatility helps …

, 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 …

and tractable posterior sampling disappear. We use this framework to combine sign restrictions with information on the … volatility of the variables in the model, and show that this sharpens posterior inference. Applying the methodology to the oil …