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The Causal Impact of Macroeconomic Uncertainty on Expected Returns

Chaudhry, Aditya - 2021

I quantify the causal impact of macroeconomic uncertainty on time-varying expected returns. The exogenous timing of macroeconomic announcements provides an instrument for uncertainty. Using daily measures of macroeconomic uncertainty and expected equity market returns, I find announcements...

Persistent link: https://www.econbiz.de/10013240699

The macroeconomic effects of inflation uncertainty

Metiu, Norbert; Prieto, Esteban - 2023

The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level …

Persistent link: https://www.econbiz.de/10014436184

The natural rate of interest and the financial cycle

Krustev, Georgi - 2018

estimation of the natural rates of interest, unemployment and output, and the sustainable growth rate of the US economy. By …

Persistent link: https://www.econbiz.de/10011871950

Estimating financial integration in Europe : how to separate structural trends from cyclical fluctuations

Lake, Alfred; Maurin, Laurent; Minnella, Enrico - 2022

We construct a new indicator of de facto financial integration in the EU. The resulting indicator is pro-cyclical as it evolves along the cyclical pattern of economic activity in the European Union. It is then appended to a set of relevant financial and macroeconomic variables, within a FAVAR...

Persistent link: https://www.econbiz.de/10013453687

The Macroeconomic Determinants of the US Term-Structure during the Great Moderation

Paccagnini, Alessia - 2014

The aim of this paper is to study how macroeconomic impulses can affect the term structure during the Great Moderation. As novelty in the research strategy, we create a term-structure using three latent factors of the yield curve. A Nelson-Siegel Model is implemented to estimate the latent...

Persistent link: https://www.econbiz.de/10014144946

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...

Persistent link: https://www.econbiz.de/10010478516

Business-Cycle Variation in Macroeconomic Uncertainty and the Cross-Section of Expected Returns : Evidence for Scale-Dependent Risks

Xyngis, Georgios - 2017

A single factor that captures assets' exposure to business-cycle variation in macroeconomic uncertainty can explain the level and cross-sectional differences of asset returns. Specifically, based on portfolio-level tests I demonstrate that fluctuations in uncertainty with persistence ranging...

Persistent link: https://www.econbiz.de/10014133052

Forward guidance matters : disentangling monetary policy shocks

Ferreira, Leonardo Nogueira - 2020

Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...

Persistent link: https://www.econbiz.de/10012295693

Analysing oil price- macroeconomic volatility in Nigeria

Abdulkareem, Alhassan; Abdulhakeem, Kilishi A. - In: CBN journal of applied statistics 7 (2016) 1, pp. 1-22

This study provides analytical insight on modelling macroeconomic and oil price volatility in Nigeria. Mainly, the … GARCH - M); and oil price is a major source of macroeconomic volatility in Nigeria. By implication, the Nigerian economy is … vulnerable to both internal shocks (interest rate volatility, real GDP volatility) and external shocks (exchange rate volatility …

Persistent link: https://www.econbiz.de/10011460195

Risk and Macroeconomic Activity

Cover, James Peery - 2012

This article explores the macroeconomic role that risk plays using the BAA-AAA spread as the measure of risk. First, it shows that meaningful upward movements in this spread are associated with recessions and their severity. Second, it includes the BAA-AAA spread in a structural...

Persistent link: https://www.econbiz.de/10013105618