This paper examines the relationship between monetary policy and investor sentiment across conventional and unconventional monetary policy regimes. During conventional times, we find that a surprise increase in the fed funds rate leads to a large drop in investor sentiment that reverses after...

Using a structural factor-augmented VAR and a large novel database of daily time series, we examine the impact of unconventional monetary policy on financial and economic uncertainty. Our findings indicate that expansionary unconventional monetary shocks lead to large reductions in uncertainty...

This paper develops two-stage model averaging (2SMA), an extension of model averaging. 2SMA allows researchers to incorporate economic theory or prior economic information into their forecasts. By using prior economic information, 2SMA leverages models known to perform well while diversifying...

We use the returns on lottery-like stocks to construct a novel index for investor sentiment in the stock market. This new measure is closely related to previously developed sentiment indicators, but more accurately tracks speculative episodes over the sample period. Using our index, we find that...