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Persistent and Transitory Components of Monetary Policy Uncertainty: Implications for Bond Return Prediction

https://doi.org/10.2139/ssrn.5137801
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Political uncertainty and risk premia
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Short interest and aggregate stock returns
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Interest rate volatility, the yield curve, and the macroeconomy
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Four centuries of return predictability
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The U.S. Treasury yield curve: 1961 to the present
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Monetary policy uncertainty
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Monetary Policy and Bond Prices with Drifting Equilibrium Rates
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Market-Based Monetary Policy Uncertainty
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Measuring Economic Policy Uncertainty*
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Bond Risk Premiums with Machine Learning
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The Yield Spread and Bond Return Predictability in Expansions and Recessions
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The Behavior of Interest Rates
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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
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Portfolio Performance Manipulation and Manipulation-proof Performance Measures
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Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
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An Economic Evaluation of Empirical Exchange Rate Models
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Time-Varying Risk Premiums and the Output Gap
inferredcites →https://doi.org/10.1093/rfs/hhp063openalex-snapshot
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
inferredcites →https://doi.org/10.1093/rfs/hhp081openalex-snapshot
Macro Factors in Bond Risk Premia
inferredcites →https://doi.org/10.1093/rfs/hhs069openalex-snapshot
Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective
inferredcites →https://doi.org/10.1093/rfs/hhv032openalex-snapshot
Expected Returns in Treasury Bonds
inferredcites →https://doi.org/10.1111/0022-1082.00327openalex-snapshot
The Economic Value of Volatility Timing
inferredcites →https://doi.org/10.1111/0022-1082.00347openalex-snapshot
Consumption, Aggregate Wealth, and Expected Stock Returns
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MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS
inferredcites →https://doi.org/10.1111/j.1467-937x.2009.00545.xopenalex-snapshot
Detecting and Predicting Forecast Breakdowns
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The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01671.xopenalex-snapshot
Presidential Address: Discount Rates
inferredcites →https://doi.org/10.1111/jmcb.12748openalex-snapshot
Economic Policy Uncertainty and Bond Risk Premia
inferredcites →https://doi.org/10.1111/jofi.12365openalex-snapshot
Does Academic Research Destroy Stock Return Predictability?
inferredcites →https://doi.org/10.1111/jofi.12406openalex-snapshot
The Price of Political Uncertainty: Theory and Evidence from the Option Market
inferredcites →https://doi.org/10.1111/jofi.12870openalex-snapshot
Consumption Fluctuations and Expected Returns
inferredcites →https://doi.org/10.1162/rest_a_00706openalex-snapshot
Why You Should Never Use the Hodrick-Prescott Filter
inferredcites →https://doi.org/10.1257/0002828053828581openalex-snapshot
Bond Risk Premia
inferredcites →https://doi.org/10.1257/aer.20131193openalex-snapshot
Measuring Uncertainty
inferredcites →https://doi.org/10.1287/mnsc.2017.2829openalex-snapshot
Bond Return Predictability: Economic Value and Links to the Macroeconomy
inferredcites →https://doi.org/10.1287/mnsc.2023.4713openalex-snapshot
Predicting Bond Return Predictability
inferredcites →https://doi.org/10.2139/ssrn.169791openalex-snapshot
Consumption, Aggregate Wealth and Expected Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.423982openalex-snapshot
The Stock Market's Reaction to Unemployment News: 'Why Bad News is Usually Good for Stocks'
inferredcites →https://doi.org/10.2139/ssrn.905083openalex-snapshot
Detecting and Predicting Forecast Breakdowns
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.3386/w19812openalex-snapshot
The Price of Political Uncertainty: Theory and Evidence from the Option Market
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