Bauer et al. (2022) derive market-based monetary policy uncertainty and uncover an 'FOMC uncertainty cycle' characterized by a fall of uncertainty after FOMC announcements and its subsequent built-up. Then, the authors show that the financial markets' response to monetary policy announcements...

Bauer et al. (2022) derive market-based monetary policy uncertainty and uncover an 'FOMC uncertainty cycle' characterized by a fall of uncertainty after FOMC announcements and its subsequent built-up. Then, the authors show that the financial markets' response to monetary policy announcements...

The use of estimated policy rules has been on the rise over the past few decades as central banks have increasingly relied on them as policy benchmarks. While simple, conventionally estimated rules have proven insightful, their value is generally seen to depend, among other things, on the...

Using a simple single-equation approach, many studies have shown that the term structure of interest rates or its approximation - the term spread - is a useful indicator of future inflation and/or future real economic activity. However, this paper argues that shortcomings of the single-equation...