We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the … standard bond risk premium predictors based on yield curve and macroeconomic fundamentals. The predictive power of MPU is not …

time-varying inflation risk premium. We fit the model not only to yields, but also to the yields’ variance …

’s option-implied skewness being a proxy for its Fed put exposure (FPE); and (3) FPE commanding a positive price of risk. High … value at risk (CVaR) on announcement days. Using aggregate implied skewness measured right after the FOMC announcement as a …

funds futures data. The uncertainty is highest when it signals a loosening cycle. The uncertainty raises the risk premium in …

macroeconomic variables. However, the presence of time-varying risk premia requires an adjustment of market prices to obtain the … estimating risk premia and highlights the proliferation of risk pricing factors that result in a wide range of different asset …-price-based expectation measures. It then describes a key methodological innovation to evaluate the empirical plausibility of risk premium …

We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating …. Communication shocks from the US spill over to risk in the euro area and vice versa, but traditional US shocks show no spillover … effects to risk. Both monetary policy and communication shocks spill over to stocks, with euro area information spillovers …

Fleming's “Impossible Trinity” theory. Our identification strategy seeks to solve the simultaneity and omitted variable … shocks. Our results so far do not support this hypothesis, which seems to contradict the financial accelerator theory …

model without needing to restrict the parameters driving the market prices of risk. Using data for the U.S. from 1962:Q1 to …

macroeconomic impact of large nonlinear risk-premium dynamics; time-varying uncertainty; financial sector and systemic risks …