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Eric Capen Engstrom

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2020. "Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis," Finance and Economics Discussion Series 2020-049, Board of Governors of the Federal Reserve System (U.S.).

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Economic consequences

Working papers

  1. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2020. "Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis," Finance and Economics Discussion Series 2020-049, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Cigna, Simone & Gunnella, Vanessa & Quaglietti, Lucia, 2022. "Global value chains: measurement, trends and drivers," Occasional Paper Series 289, European Central Bank.
    2. Balduzzi, Pierluigi & Brancati, Emanuele & Brianti, Marco & Schiantarelli, Fabio, 2020. "The Economic Effects of COVID-19 and Credit Constraints: Evidence from Italian Firms' Expectations and Plans," IZA Discussion Papers 13629, Institute of Labor Economics (IZA).
    3. Jordi Brandts & Sabrine El Baroudi & Stefanie Huber & Christina Rott, 2022. "Gender Differences in Private and Public Goal Setting," Tinbergen Institute Discussion Papers 22-008/II, Tinbergen Institute.
    4. Adam Lee & Geert Mesters, 2021. "Locally Robust Inference for Non-Gaussian Linear Simultaneous Equations Models," Working Papers 1278, Barcelona School of Economics.
    5. Funke, Michael & Terasa, Raphael, 2022. "Has Germany’s temporary VAT rates cut as part of the COVID-19 fiscal stimulus boosted growth?," Journal of Policy Modeling, Elsevier, vol. 44(2), pages 450-473.
    6. Michael Funke & Raphael Terasa, 2020. "Will Germany's Temporary VAT Tax Rates Cut as Part of the Covid-19 Fiscal Stimulus Package Boost Consumption and Growth?," CESifo Working Paper Series 8765, CESifo.
    7. Galindo Gil, Hamilton, 2021. "What kind of firm is more responsive to the unconventional monetary policy?," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 188-200.
    8. Povilas Lastauskas, 2022. "Lockdown, employment adjustment, and financial frictions," Small Business Economics, Springer, vol. 58(2), pages 919-942, February.
    9. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
    10. Armantier, Olivier & Koşar, Gizem & Pomerantz, Rachel & Skandalis, Daphné & Smith, Kyle & Topa, Giorgio & van der Klaauw, Wilbert, 2021. "How economic crises affect inflation beliefs: Evidence from the Covid-19 pandemic," Journal of Economic Behavior & Organization, Elsevier, vol. 189(C), pages 443-469.
    11. Das, Sonali & Magistretti, Giacomo & Pugacheva, Evgenia & Wingender, Philippe, 2022. "Sectoral spillovers across space and time," Journal of Macroeconomics, Elsevier, vol. 72(C).
    12. Pierluigi Balduzzi & Emanuele Brancati & Marco Brianti & Fabio Schiantarelli, 2020. "Credit Constraints anf Firms' Decisions: Evidence from the COVID-19 Outbreak Italian Firms’ Expectations and Plans," Boston College Working Papers in Economics 1013, Boston College Department of Economics, revised 07 Oct 2022.
    13. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
    14. Ferragina, Anna Maria & Iandolo, Stefano, 2022. "Reacting to the economic fallout of the COVID-19: Evidence on debt exposure and asset management of Italian firms," Economic Analysis and Policy, Elsevier, vol. 75(C), pages 530-547.
    15. Gillman, Max & Benk, Szilard & Csabafi, Tamas, 2023. "Supply-side economics with AS-AD in Ramsey dynamic general equilibrium," Economic Analysis and Policy, Elsevier, vol. 80(C), pages 505-531.
    16. Doojav, Gan-Ochir, 2021. "Socio-economic recovery from the Covid-19 pandemic: Macroeconomic impacts and policy issues in Mongolia," MPRA Paper 111197, University Library of Munich, Germany.
    17. Jelena Nikolajenko & Rasa Viederytė & Agnė Šneiderienė & Ignas Aničas, 2021. "Components for Measuring the Efficiency of the Intervention Measures to Support Business, Initiated and Implemented by the Government of Lithuania during the First Lockdown," Sustainability, MDPI, vol. 13(3), pages 1-19, January.

  2. Eric Engstrom & Steven A. Sharpe, 2018. "The Near-Term Forward Yield Spread as a Leading Indicator : A Less Distorted Mirror," Finance and Economics Discussion Series 2018-055, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Massimo Ferrari Minesso & Laura Lebastard & Helena Mezo, 2023. "Text-Based Recession Probabilities," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(2), pages 415-438, June.
    2. Benjamin Gardner & Chiara Scotti & Clara Vega, 2021. "Words Speak as Loudly as Actions: Central Bank Communication and the Response of Equity Prices to Macroeconomic Announcements," Finance and Economics Discussion Series 2021-074, Board of Governors of the Federal Reserve System (U.S.).
    3. Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2022. "The credit spread curve distribution and economic fluctuations in Japan," Journal of International Money and Finance, Elsevier, vol. 122(C).
    4. Schlömer, Johnny Barrelli & Palazzi, Rafael Baptista & Klotzle, Marcelo Cabus, 2024. "Near-term forward rate spread and commodity index relationship with real economic activity in Brazil," Finance Research Letters, Elsevier, vol. 65(C).
    5. Szczygielski, Jan Jakub & Charteris, Ailie & Obojska, Lidia & Brzeszczyński, Janusz, 2024. "Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index," Research in International Business and Finance, Elsevier, vol. 72(PA).

  3. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Qi Zhang & Qi Wang & Ping Zuo & Hongbo Du & Fangfang Wu, 2023. "Projection and Contraction Method for Pricing American Bond Options," Mathematics, MDPI, vol. 11(22), pages 1-13, November.
    2. Chatterjee, Ujjal K., 2018. "Bank liquidity creation and recessions," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 64-75.
    3. Duarte, Diogo & Saporito, Yuri F., 2019. "Endogenous asymmetric money illusion," Journal of Banking & Finance, Elsevier, vol. 109(C).
    4. Siyu Bie & Francis X. Diebold & Jingyu He & Junye Li, 2024. "Machine Learning and the Yield Curve:Tree-Based Macroeconomic Regime Switching," PIER Working Paper Archive 24-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    5. Giacomo Bormetti & Fulvio Corsi, 2021. "A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters," Papers 2107.05263, arXiv.org, revised Feb 2022.
    6. Jordi Brandts & Sabrine El Baroudi & Stefanie Huber & Christina Rott, 2022. "Gender Differences in Private and Public Goal Setting," Tinbergen Institute Discussion Papers 22-008/II, Tinbergen Institute.
    7. Adam Lee & Geert Mesters, 2021. "Locally Robust Inference for Non-Gaussian Linear Simultaneous Equations Models," Working Papers 1278, Barcelona School of Economics.
    8. Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2024. "Risks and risk premia in the US Treasury market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
    9. Jongrim Ha & M. Ayhan Kose & Franziska Ohnsorge & Hakan Yilmazkuday, 2023. "What Explains Global Inflation," Koç University-TUSIAD Economic Research Forum Working Papers 2310, Koc University-TUSIAD Economic Research Forum.
    10. Etienne Vaccaro-Grange, 2019. "Quantitative Easing and the Term Premium as a Monetary Policy Instrument," Working Papers halshs-02359503, HAL.
    11. Hristov, Nikolay & Huelsewig, Oliver & Wollmershaeuser, Timo, 2020. "Capital flows in the euro area and TARGET2 balances," Munich Reprints in Economics 84737, University of Munich, Department of Economics.
    12. Allayioti, Anastasia & Arioli, Rodolfo & Bates, Colm & Botelho, Vasco & Fagandini, Bruno & Fonseca, Luís & Healy, Peter & Meyler, Aidan & Minasian, Ryan & Zahrt, Octavia, 2024. "A look back at 25 years of the ECB SPF," Occasional Paper Series 364, European Central Bank.
    13. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
    14. Bletzinger, Tilman & Lemke, Wolfgang & Renne, Jean-Paul, 2025. "Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model," Working Paper Series 3012, European Central Bank.
    15. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
    16. Hansen, Anne Lundgaard, 2021. "Modeling persistent interest rates with double-autoregressive processes," Journal of Banking & Finance, Elsevier, vol. 133(C).
    17. Ana González-Urteaga & Belén Nieto & Gonzalo Rubio, 2022. "Spillover dynamics effects between risk-neutral equity and Treasury volatilities," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(4), pages 663-708, December.
    18. Lukas Hoesch & Adam Lee & Geert Mesters, 2022. "Robust inference for non-Gaussian SVAR models," Economics Working Papers 1847, Department of Economics and Business, Universitat Pompeu Fabra.
    19. Adam Lee & Lukas Hoesch & Geert Mesters, 2022. "Locally Robust Inference for Non-Gaussian SVAR Models," Working Papers 1367, Barcelona School of Economics.
    20. Ahmed, Rashad, 2023. "Global commodity prices and macroeconomic fluctuations in a low interest rate environment," Energy Economics, Elsevier, vol. 127(PB).
    21. Iania, Leonardo & Lyrio, Marco & Nersisyan, Liana, 2023. "Oil Price Shocks and Bond Risk Premia: Evidence from a Panel of 15 Countries," LIDAM Discussion Papers LFIN 2023002, Université catholique de Louvain, Louvain Finance (LFIN).
    22. Mauro Sayar Ferreira & Joice Marques Figueiredo, 2024. "The influence of global uncertainty and financial shocks, and sovereign risk shock on the Brazilian term structure of interest rate," Textos para Discussão Cedeplar-UFMG 674, Cedeplar, Universidade Federal de Minas Gerais.
    23. Taeyoung Doh & Shu Wu, 2016. "The Equilibrium Term Structure of Equity and Interest Rates," Research Working Paper RWP 16-11, Federal Reserve Bank of Kansas City.
    24. Christos Ioannidis & Kook Ka, 2021. "Economic Policy Uncertainty and Bond Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(6), pages 1479-1522, September.

  4. Andrew Y. Chen & Eric Engstrom & Olesya V. Grishchenko, 2016. "Has the Inflation Risk Premium Fallen? Is it Now Negative?," FEDS Notes 2016-04-04, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Olesya Grishchenko & Sarah Mouabbi & Jean‐Paul Renne, 2019. "Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(5), pages 1053-1096, August.
    2. Dongho Song, 2016. "Bond Market Exposures to Macroeconomic and Monetary Policy Risks," Boston College Working Papers in Economics 915, Boston College Department of Economics, revised 19 Jul 2016.
    3. Marente Vlekke & Martin Mellens & Siem Jan Koopmans, 2020. "An assessment of the Phillips curve over time: evidence for the United States and the euro area," CPB Discussion Paper 416, CPB Netherlands Bureau for Economic Policy Analysis.
    4. Jamel Boukhatem & Zied Ftiti & Jean Michel Sahut, 2021. "Bond market and macroeconomic stability in East Asia: a nonlinear causality analysis," Annals of Operations Research, Springer, vol. 297(1), pages 53-76, February.
    5. Allayioti, Anastasia & Arioli, Rodolfo & Bates, Colm & Botelho, Vasco & Fagandini, Bruno & Fonseca, Luís & Healy, Peter & Meyler, Aidan & Minasian, Ryan & Zahrt, Octavia, 2024. "A look back at 25 years of the ECB SPF," Occasional Paper Series 364, European Central Bank.
    6. Leo Krippner & Michael Callaghan, 2016. "Short-term risk premiums and policy rate expectations in the United States," Reserve Bank of New Zealand Analytical Notes series AN2016/07, Reserve Bank of New Zealand.
    7. Lael Brainard, 2018. "Sustaining Full Employment and Inflation around Target : a speech at the Forecasters Club of New York, New York, New York, May 31, 2018," Speech 1005, Board of Governors of the Federal Reserve System (U.S.).
    8. Lael Brainard, 2016. "The Economic Outlook and Implications for Monetary Policy: a speech at the Council on Foreign Relations, Washington, D.C., June 3, 2016," Speech 899, Board of Governors of the Federal Reserve System (U.S.).
    9. Lael Brainard, 2018. "What Do We Mean by Neutral and What Role Does It Play in Monetary Policy?: a speech at the Detroit Economic Club, Detroit, Michigan," Speech 1011, Board of Governors of the Federal Reserve System (U.S.).
    10. Robert Amano & Thomas Carter & Sylvain Leduc, 2019. "Precautionary Pricing: The Disinflationary Effects of ELB Risk," Working Paper Series 2019-26, Federal Reserve Bank of San Francisco.
    11. Stefano Neri & Giuseppe Ferrero, 2017. "Monetary policy in a low interest rate environment," Questioni di Economia e Finanza (Occasional Papers) 392, Bank of Italy, Economic Research and International Relations Area.
    12. Jonathan Goldberg & Elizabeth C. Klee & Edward Simpson Prescott & Paul R. Wood, 2020. "Monetary Policy Strategies and Tools: Financial Stability Considerations," Finance and Economics Discussion Series 2020-074, Board of Governors of the Federal Reserve System (U.S.).
    13. Alberto Di Iorio & Marco Fanari, 2020. "Break-even inflation rates: the Italian case," Questioni di Economia e Finanza (Occasional Papers) 578, Bank of Italy, Economic Research and International Relations Area.
    14. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.

  5. Geert Bekaert & Eric Engstrom, 2015. "Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals," Finance and Economics Discussion Series 2015-53, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Robert A Connolly & David Dubofsky & Chris Stivers, 2021. "Economic-State Variation in Uncertainty-Yield Dynamics [Do macro variables, asset markets, or surveys forecast inflation better?]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 11(1), pages 60-104.
    2. Christian Schlag & Michael Semenischev & Julian Thimme, 2021. "Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models," Management Science, INFORMS, vol. 67(12), pages 7932-7950, December.
    3. Dai, Zhifeng & Peng, Yongxin, 2022. "Economic policy uncertainty and stock market sector time-varying spillover effect: Evidence from China," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    4. Liu, Wei & Garrett, Ian, 2023. "Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market," Economic Modelling, Elsevier, vol. 128(C).
    5. Delis, Manthos D. & Savva, Christos S. & Theodossiou, Panayiotis, 2021. "The impact of the coronavirus crisis on the market price of risk," Journal of Financial Stability, Elsevier, vol. 53(C).
    6. Leland E. Farmer & Lawrence Schmidt & Allan Timmermann, 2023. "Pockets of Predictability," Journal of Finance, American Finance Association, vol. 78(3), pages 1279-1341, June.
    7. Nam, Eun-Young & Lee, Kiryoung & Jeon, Yoontae, 2021. "Macroeconomic uncertainty shocks and households’ consumption choice," Journal of Macroeconomics, Elsevier, vol. 68(C).
    8. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2021. "The impact of hedging on risk-averse agents’ output decisions," Economic Modelling, Elsevier, vol. 104(C).
    9. Juan M. Londono & Nancy R. Xu, 2021. "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers 1318, Board of Governors of the Federal Reserve System (U.S.).
    10. Xu, Nancy R., 2021. "Procyclicality of the comovement between dividend growth and consumption growth," Journal of Financial Economics, Elsevier, vol. 139(1), pages 288-312.
    11. Juan M. Londono & Nancy R. Xu, 2019. "Variance Risk Premium Components and International Stock Return Predictability," International Finance Discussion Papers 1247, Board of Governors of the Federal Reserve System (U.S.).
    12. Burgess, Matthew G. & Langendorf, Ryan E. & Ippolito, Tara & Pielke, Roger Jr, 2020. "Optimistically biased economic growth forecasts and negatively skewed annual variation," SocArXiv vndqr, Center for Open Science.
    13. Nam Gang Lee, 2020. "Vulnerable Growth: A Revisit," Working Papers 2020-22, Economic Research Institute, Bank of Korea.
    14. Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023. "What Is Certain about Uncertainty?," Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.
    15. Iseringhausen, Martin & Petrella, Ivan & Theodoridis, Konstantinos, 2022. "Aggregate Skewness and the Business Cycle," CEPR Discussion Papers 17162, C.E.P.R. Discussion Papers.
    16. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2020. "Implied Volatility Duration: A measure for the timing of uncertainty resolution," SAFE Working Paper Series 265, Leibniz Institute for Financial Research SAFE.
    17. Faria, Gonçalo & Kosowski, Robert & Wang, Tianyu, 2022. "The Correlation Risk Premium: International Evidence," Journal of Banking & Finance, Elsevier, vol. 136(C).
    18. Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2022. "The Time Variation in Risk Appetite and Uncertainty," Management Science, INFORMS, vol. 68(6), pages 3975-4004, June.
    19. John Cotter & Enrique Salvador, 2022. "The non-linear trade-off between return and risk and its determinants," Working Papers 202203, Geary Institute, University College Dublin.
    20. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
    21. Corsetti, G. & Lipińska, A. & Lombardo, G., 2024. "International Risk Sharing and Wealth Allocation with Higher Order Cumulants," Janeway Institute Working Papers 2422, Faculty of Economics, University of Cambridge.
    22. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023. "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
    23. Borochin, Paul & Zhao, Yanhui, 2019. "Belief heterogeneity in the option markets and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 107(C), pages 1-1.
    24. Segal, Gill, 2019. "A tale of two volatilities: Sectoral uncertainty, growth, and asset prices," Journal of Financial Economics, Elsevier, vol. 134(1), pages 110-140.
    25. Mete Kilic & Ivan Shaliastovich, 2019. "Good and Bad Variance Premia and Expected Returns," Management Science, INFORMS, vol. 67(6), pages 2522-2544, June.
    26. Schlag, Christian & Semenischev, Michael & Thimme, Julian, 2020. "Predictability and the cross-section of expected returns: A challenge for asset pricing models," SAFE Working Paper Series 289, Leibniz Institute for Financial Research SAFE.
    27. Jianlei Han & Martina Linnenluecke & Zhangxin Liu & Zheyao Pan & Tom Smith, 2019. "A general equilibrium approach to pricing volatility risk," PLOS ONE, Public Library of Science, vol. 14(4), pages 1-18, April.
    28. Houari, Oussama, 2022. "Uncertainty shocks and business cycles in the US: New insights from the last three decades," Economic Modelling, Elsevier, vol. 109(C).
    29. Geert Bekaert & Alexander Popov, 2019. "On the Link Between the Volatility and Skewness of Growth," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 67(4), pages 746-790, December.
    30. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
    31. Lee, Kiryoung & Jeon, Yoontae, 2020. "Measuring Chinese consumers’ perceived uncertainty," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 51-70.
    32. Huang, Yu-Fan & Liao, Wenting & Luo, Sui & Ma, Jun, 2024. "Financial conditions, macroeconomic uncertainty, and macroeconomic tail risks," Journal of Economic Dynamics and Control, Elsevier, vol. 163(C).
    33. Bletzinger, Tilman & Lemke, Wolfgang & Renne, Jean-Paul, 2025. "Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model," Working Paper Series 3012, European Central Bank.
    34. Goodell, John W. & McGee, Richard J. & McGroarty, Frank, 2020. "Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis," Journal of Banking & Finance, Elsevier, vol. 110(C).
    35. Guo, Hui & Jiang, Xiaowen, 2021. "Aggregate Distress Risk and Equity Returns," Journal of Banking & Finance, Elsevier, vol. 133(C).
    36. Li, Kaifeng & Xia, Bobo & Guo, Zhaoxuan, 2021. "A consumption-based asset pricing model with disappointment aversion and uncertainty shocks," Economic Modelling, Elsevier, vol. 94(C), pages 235-243.
    37. Walter I. Boudry & Robert A. Connolly & Eva Steiner, 2022. "What happens during flight to safety: Evidence from public and private real estate markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 50(1), pages 147-172, March.
    38. Cheng, Hang & Guo, Hui & Shi, Yongdong, 2024. "Multifactor conditional equity premium model: Evidence from China's stock market," Journal of Banking & Finance, Elsevier, vol. 161(C).
    39. Bali, Turan G. & Brown, Stephen J. & Tang, Yi, 2017. "Is economic uncertainty priced in the cross-section of stock returns?," Journal of Financial Economics, Elsevier, vol. 126(3), pages 471-489.
    40. Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2024. "Why do rational investors like variance at the peak of a crisis? A learning-based explanation," Journal of Monetary Economics, Elsevier, vol. 142(C).
    41. Corsetti, Giancarlo & Lipinska, Anna & Lombardo, Giovanni, 2021. "Sharing Asymmetric Tail Risk: Smoothing, Asset Pricing and Terms of Trade," CEPR Discussion Papers 16443, C.E.P.R. Discussion Papers.
    42. Oussama Houari, 2022. "Uncertainty shocks and business cycles in the US: New insights from the last three decades," Post-Print hal-03723972, HAL.
    43. Ramos, Henrique Pinto & Righi, Marcelo Brutti, 2020. "Liquidity, implied volatility and tail risk: A comparison of liquidity measures," International Review of Financial Analysis, Elsevier, vol. 69(C).
    44. Aragó, V. & Barreda-Tarrazona, I. & Breaban, A. & Matallín, J.C. & Salvador, E., 2022. "Market risk aversion under volatility shifts: An experimental study," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 552-568.
    45. Apergis, Nicholas, 2024. "COVID-19 and US females’ portfolio decisions," International Review of Economics & Finance, Elsevier, vol. 95(C).
    46. Falconio, Andrea & Manganelli, Simone, 2020. "Financial conditions, business cycle fluctuations and growth at risk," Working Paper Series 2470, European Central Bank.
    47. Elkamhi, Redouane & Jo, Chanik, 2023. "Asset holders’ consumption risk and tests of conditional CCAPM," Journal of Financial Economics, Elsevier, vol. 148(3), pages 220-244.
    48. Elyasiani, Elyas & Gambarelli, Luca & Muzzioli, Silvia, 2020. "Moment risk premia and the cross-section of stock returns in the European stock market," Journal of Banking & Finance, Elsevier, vol. 111(C).
    49. Liu, Mengxi (Maggie) & Chan, Kam Fong & Faff, Robert, 2022. "What can we learn from firm-level jump-induced tail risk around earnings announcements?," Journal of Banking & Finance, Elsevier, vol. 138(C).
    50. Bagliano, Fabio C. & Fugazza, Carolina & Nicodano, Giovanna, 2024. "Life-cycle risk-taking with personal disaster risk," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 378-396.
    51. Pacati, Claudio & Pompa, Gabriele & Renò, Roberto, 2018. "Smiling twice: The Heston++ model," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 185-206.
    52. Yu‐Fan Huang & Sui Luo, 2020. "Can Stock Volatility Be Benign? New Measurements and Macroeconomic Implications," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 52(4), pages 933-950, June.
    53. Nam Gang Lee, 2019. "Trend Growth Shocks and Asset Prices," Working Papers 2019-4, Economic Research Institute, Bank of Korea.
    54. Helena Chuliá & Ignacio Garrón & Jorge M. Uribe, 2021. ""Vulnerable Funding in the Global Economy"," IREA Working Papers 202106, University of Barcelona, Research Institute of Applied Economics, revised Mar 2021.
    55. Chen, Qi-An & Li, Huashi & Lin, Jianyi & Yan, Youliang, 2023. "Asset pricing with two types of heterogeneous consumption volatilities in mind: Evidence from China," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).
    56. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Taamouti, Abderrahim, 2019. "The information content of forward moments," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 527-541.
    57. Ruzhao Gao & Yancai Zhao & Bing Zhang, 2021. "The spillover effects of economic policy uncertainty on the oil, gold, and stock markets: Evidence from China," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2134-2141, April.
    58. Giancarlo Corsetti & Anna Lipinska & Giovanni Lombardo, 2021. "Sharing Asymmetric Tail Risk: Smoothing, Asset Prices and Terms of Trade," International Finance Discussion Papers 1324, Board of Governors of the Federal Reserve System (U.S.).
    59. Schlag, Christian & Thimme, Julian & Weber, Rüdiger, 2021. "Implied volatility duration: A measure for the timing of uncertainty resolution," Journal of Financial Economics, Elsevier, vol. 140(1), pages 127-144.
    60. Jaccard, Ivan, 2018. "Stochastic discounting and the transmission of money supply shocks," Working Paper Series 2174, European Central Bank.
    61. Schüler, Yves S., 2020. "The impact of uncertainty and certainty shocks," Discussion Papers 14/2020, Deutsche Bundesbank.
    62. Kiryoung Lee & Yoontae Jeon & Insik Kim, 2021. "Which economic uncertainty measure matters for households' portfolio decision?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(2), pages 343-369, June.
    63. Xiangjun Hong & Xian Lin & Laitan Fang & Yuchen Gao & Ruipeng Li, 2022. "Application of Machine Learning Models for Predictions on Cross-Border Merger and Acquisition Decisions with ESG Characteristics from an Ecosystem and Sustainable Development Perspective," Sustainability, MDPI, vol. 14(5), pages 1-27, February.
    64. Maio, Paulo & Silva, André C., 2020. "Asset pricing implications of money: New evidence," Journal of Banking & Finance, Elsevier, vol. 120(C).
    65. Li, Yulin & Wald, John K. & Wang, Zijun, 2020. "Sovereign bonds, coskewness, and monetary policy regimes," Journal of Financial Stability, Elsevier, vol. 50(C).
    66. Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, C.E.P.R. Discussion Papers.
    67. Lou, Jun & Wong, Tat Wing & Fung, Ka Wai Terence & Shaende, Jonas J. Nazimoff, 2021. "Stock and bond joint pricing, consumption surplus, and inflation news," Research in International Business and Finance, Elsevier, vol. 58(C).
    68. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
    69. Held, Matthias & Kapraun, Julia & Omachel, Marcel & Thimme, Julian, 2020. "Up- and downside variance risk premia in global equity markets," Journal of Banking & Finance, Elsevier, vol. 118(C).

  6. Eric Engstrom, 2014. "Forecasting Stock Market Crashes is Hard--Especially Future Ones: Can Option Prices Help?," FEDS Notes 2014-05-07, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Emilian DOBRESCU, 2017. "Modelling an Emergent Economy and Parameter Instability Problem," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 5-28, June.

  7. Bekaert, Geert & Engstrom, Eric, 2010. "Asset Return Dynamics Under Bad Environment-Good Environment Fundamentals," CEPR Discussion Papers 8150, C.E.P.R. Discussion Papers.

    Cited by:

    1. Segal, Gill & Shaliastovich, Ivan & Yaron, Amir, 2015. "Good and bad uncertainty: Macroeconomic and financial market implications," Journal of Financial Economics, Elsevier, vol. 117(2), pages 369-397.
    2. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
    3. Philippe Mueller & Andrea Vedolin & Hao Zhou, 2019. "Short-Run Bond Risk Premia," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 1-34, September.
    4. Datta, Deepa Dhume & Londono, Juan M. & Ross, Landon J., 2017. "Generating options-implied probability densities to understand oil market events," Energy Economics, Elsevier, vol. 64(C), pages 440-457.
    5. Ivan Shaliastovich & George Tauchen, 2010. "Pricing of the Time-Change Risks," Working Papers 10-10, Duke University, Department of Economics.
    6. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020. "Flights to Safety," The Review of Financial Studies, Society for Financial Studies, vol. 33(2), pages 689-746.
    7. Marie Briere & Ombretta Signori, 2013. "Hedging inflation risk in a developing economy: The case of Brazil," ULB Institutional Repository 2013/167772, ULB -- Universite Libre de Bruxelles.
    8. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
    9. David Backus & Mikhail Chernov & Stanley Zin, 2011. "Sources of Entropy in Representative Agent Models," Working Papers 11-21, New York University, Leonard N. Stern School of Business, Department of Economics.
    10. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    11. Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2012. "Aggregate Idiosyncratic Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(6), pages 1155-1185, December.
    12. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, vol. 66(6), pages 1969-2012, December.
    13. Jianjian Jin, 2013. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Staff Working Papers 13-12, Bank of Canada.
    14. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
    15. Hoerova, Marie & Bekaert, Geert, 2014. "The VIX, the variance premium and stock market volatility," Working Paper Series 1675, European Central Bank.
    16. Eirini Konstantinidi & George Skiadopoulos, 2014. "How Does the Market Variance Risk Premium Vary over Time? Evidence from S&P 500 Variance Swap Investment Returns," Working Papers 732, Queen Mary University of London, School of Economics and Finance.
    17. Gao, Lin & Süss, Stephan, 2015. "Market sentiment in commodity futures returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 84-103.
    18. Juan M. Londono & Mary Tian, 2014. "Bank Interventions and Options-based Systemic Risk: Evidence from the Global and Euro-area Crisis," International Finance Discussion Papers 1117, Board of Governors of the Federal Reserve System (U.S.).
    19. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 247-309, National Bureau of Economic Research, Inc.
    20. Liu, Mengxi (Maggie) & Chan, Kam Fong & Faff, Robert, 2022. "What can we learn from firm-level jump-induced tail risk around earnings announcements?," Journal of Banking & Finance, Elsevier, vol. 138(C).
    21. Juan M. Londono, 2011. "The variance risk premium around the world," International Finance Discussion Papers 1035, Board of Governors of the Federal Reserve System (U.S.).
    22. Andrew Y. Chen, 2014. "Precautionary Volatility and Asset Prices," Finance and Economics Discussion Series 2014-59, Board of Governors of the Federal Reserve System (U.S.).
    23. Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, Department of Economics and Business Economics, Aarhus University.
    24. Ravi Jagannathan & Srikant Marakani, 2015. "Price-Dividend Ratio Factor Proxies for Long-Run Risks," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 5(1), pages 1-47.
    25. Samuel M. Hartzmark, 2016. "Economic Uncertainty and Interest Rates," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 6(2), pages 179-220.
    26. Timothy Erickson & Toni M. Whited, 2012. "Treating Measurement Error in Tobin's q," The Review of Financial Studies, Society for Financial Studies, vol. 25(4), pages 1286-1329.
    27. Anthony W. Lynch & Oliver Randall, 2011. "Why Surplus Consumption in the Habit Model May be Less Persistent than You Think," NBER Working Papers 16950, National Bureau of Economic Research, Inc.

  8. Geert Bekaert & Eric Engstrom, 2009. "Inflation and the Stock Market:Understanding the "Fed Model"," NBER Working Papers 15024, National Bureau of Economic Research, Inc.

    Cited by:

    1. De Santis, Roberto A. & Favero, Carlo A. & Roffia, Barbara, 2008. "Euro area money demand and international portfolio allocation: a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank.
    2. Gric, Zuzana & Bajzík, Josef & Badura, Ondřej, 2023. "Does sentiment affect stock returns? A meta-analysis across survey-based measures," International Review of Financial Analysis, Elsevier, vol. 89(C).
    3. Renhe Liu & Eddie Chi-man Hui & Jiaqi Lv & Yi Chen, 2017. "What Drives Housing Markets: Fundamentals or Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 55(4), pages 395-415, November.
    4. Geert Bekaert & Campbell R. Harvey & Christian Lundblad & Stephan Siegel, 2009. "What Segments Equity Markets?," NBER Working Papers 14802, National Bureau of Economic Research, Inc.
    5. Wilton Bernardino & João B. Amaral & Nelson L. Paes & Raydonal Ospina & José L. Távora, 2022. "A statistical investigation of a stock valuation model," SN Business & Economics, Springer, vol. 2(8), pages 1-25, August.
    6. Acker, Daniella & Duck, Nigel W., 2013. "Inflation illusion and the US dividend yield: Some further evidence," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 235-254.
    7. Aviral Kumar Tiwari & Adeolu O. Adewuyi & Olabanji B. Awodumi & David Roubaud, 2022. "Relationship between stock returns and inflation: New evidence from the US using wavelet and causality methods," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4515-4540, October.
    8. Godfrey Akileng & Eric Nzibonera & Micheal Mutegana, 2019. "The Influence of Foreign Exchange Volatility, Interest Rates on the Stock Performance of Uganda Securities Exchange," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 8(2), pages 1-1.
    9. Duarte, Diogo & Saporito, Yuri F., 2019. "Endogenous asymmetric money illusion," Journal of Banking & Finance, Elsevier, vol. 109(C).
    10. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," The Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2374-2428, June.
    11. Riccardo Bonis & Marco Marinucci, 2023. "A Short Note on Interest Rates and Household Wealth," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 9(2), pages 617-635, July.
    12. Thomas Gilbert & Chiara Scotti & Georg Strasser & Clara Vega, 2015. "Is the Intrinsic Value of Macroeconomic News Announcements Related to their Asset Price Impact?," Finance and Economics Discussion Series 2015-46, Board of Governors of the Federal Reserve System (U.S.).
    13. Georgios Bampinas & Theodore Panagiotidis, 2016. "Hedging Inflation with Individual US stocks: A long-run portfolio analysis," Working Paper series 16-11, Rimini Centre for Economic Analysis.
    14. Zhiyong Tu & Min Song & Liang Zhang, 2013. "Emerging Impact of Chinese Commodity Futures Market on Domestic and Global Economy," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 21(6), pages 79-99, November.
    15. Lagos, Ricardo & Zhang, Shengxing, 2020. "Turnover liquidity and the transmission of monetary policy," LSE Research Online Documents on Economics 105095, London School of Economics and Political Science, LSE Library.
    16. Alexander Nezlobin & Madhav V. Rajan & Stefan Reichelstein, 2016. "Structural properties of the price-to-earnings and price-to-book ratios," Review of Accounting Studies, Springer, vol. 21(2), pages 438-472, June.
    17. Poshakwale, Sunil S. & Mandal, Anandadeep, 2016. "Determinants of asymmetric return comovements of gold and other financial assets," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 229-242.
    18. Andrew Ang & Marie Brière & Ombretta Signori, 2012. "Inflation and Individual Equities," NBER Working Papers 17798, National Bureau of Economic Research, Inc.
    19. Fredj Jawadi & Georges Prat, 2015. "Equity Prices and Fundamentals: a DDM-APT Mixed Approach," Working paper serie RMT - Grenoble Ecole de Management hal-04141411, HAL.
    20. Pierlauro Lopez, 2017. "Online Appendix to "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market"," Online Appendices 16-134, Review of Economic Dynamics.
    21. Marie Brière & Ombretta Signori, 2011. "Inflation hedging portfolios in different regimes," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163, Bank for International Settlements.
    22. Tom Engsted & Thomas Q. Pedersen, 2018. "Disappearing money illusion," CREATES Research Papers 2018-24, Department of Economics and Business Economics, Aarhus University.
    23. Poshakwale, Sunil S. & Mandal, Anandadeep, 2016. "What drives asymmetric dependence structure of asset return comovements?," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 312-330.
    24. Willem Thorbecke, 2025. "The Impact of Inflation on the U.S. Stock Market After the COVID-19 Pandemic," IJFS, MDPI, vol. 13(1), pages 1-20, January.
    25. Parnes, Dror, 2024. "Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield," The North American Journal of Economics and Finance, Elsevier, vol. 69(PA).
    26. Krishnamurthy, Srinivasan & Pelletier, Denis & Warr, Richard S., 2018. "Inflation and equity mutual fund flows," Journal of Financial Markets, Elsevier, vol. 37(C), pages 52-69.
    27. Sun, Yulong, 2024. "Prices and returns: Role of inflation," Journal of International Money and Finance, Elsevier, vol. 147(C).
    28. Carlo A. Favero & Arie E. Gozluklu & Haoxi Yang, 2011. "Demographics and The Behaviour of Interest Rates," Working Papers 388, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    29. David G. McMillan, 2014. "Modelling Time‐Variation in the Stock Return‐Dividend Yield Predictive Equation," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 23(5), pages 273-302, December.
    30. McMillan, David G., 2019. "Predicting firm level stock returns: Implications for asset pricing and economic links," The British Accounting Review, Elsevier, vol. 51(4), pages 333-351.
    31. Somayeh Madadpour & Mohsen Asgari, 2019. "The puzzling relationship between stocks return and inflation: a review article," International Review of Economics, Springer;Happiness Economics and Interpersonal Relations (HEIRS), vol. 66(2), pages 115-145, June.
    32. Li Gu & Dayong Huang, 2013. "Consumption, Money, Intratemporal Substitution, And Cross-Sectional Asset Returns," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(1), pages 115-146, January.
    33. Dladla, Pholile & Malikane, Christopher, 2019. "Stock return predictability: Evidence from a structural model," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 412-424.
    34. Cakici, Nusret & Zaremba, Adam, 2023. "Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns," Journal of Banking & Finance, Elsevier, vol. 149(C).
    35. Zakamulin, Valeriy & Hunnes, John A., 2021. "Stock earnings and bond yields in the US 1871–2017: The story of a changing relationship," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 182-197.
    36. Laine, Olli-Matti, 2022. "Evidence about the transmission of monetary policy," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number e53, July.
    37. Jung, Kuk Mo & Pyun, Ju Hyun, 2023. "A long-run approach to money, unemployment, and equity prices," Economic Modelling, Elsevier, vol. 125(C).
    38. Robert A. Connolly & Chris Stivers & Licheng Sun, 2022. "Stock returns and inflation shocks in weaker economic times," Financial Management, Financial Management Association International, vol. 51(3), pages 827-867, September.
    39. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš, 2019. "Central bank announcements and realized volatility of stock markets in G7 countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 58(C), pages 117-135.
    40. Roberto Santis, 2015. "Quantity theory is alive: the role of international portfolio shifts," Empirical Economics, Springer, vol. 49(4), pages 1401-1430, December.
    41. Lyócsa, Štefan & Molnár, Peter & Plíhal, Tomáš & Širaňová, Mária, 2020. "Impact of macroeconomic news, regulation and hacking exchange markets on the volatility of bitcoin," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    42. Ricardo Lagos & Shengxing Zhang, 2018. "A Monetary Model of Bilateral Over-the-Counter Markets," NBER Working Papers 25239, National Bureau of Economic Research, Inc.
    43. Arnold, Stephan & Auer, Benjamin R., 2015. "What do scientists know about inflation hedging?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 187-214.
    44. Kristiansen, Kristian & Hvid, Anna Kirstine, 2020. "How news affects sectoral stock prices through earnings expectations and risk premia," Working Paper Series 2493, European Central Bank.
    45. David G. McMillan, 2018. "The Behaviour of the Equity Yield and Its Relation with the Bond Yield: The Role of Inflation," IJFS, MDPI, vol. 6(4), pages 1-18, December.
    46. K. Victor Chow & Wanjun Jiang & Bingxin Li & Jingrui Li, 2020. "Decomposing the VIX: Implications for the predictability of stock returns," The Financial Review, Eastern Finance Association, vol. 55(4), pages 645-668, November.
    47. Andreas Humpe & David G. McMillan, 2018. "Equity/bond yield correlation and the FED model: evidence of switching behaviour from the G7 markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(6), pages 413-428, October.
    48. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Working Paper Research 119, National Bank of Belgium.
    49. Alexander David & Pietro Veronesi, 2009. "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers 15563, National Bureau of Economic Research, Inc.
    50. Willem THORBECKE, 2024. "The Impact of Inflation on the U.S. Stock Market after the COVID-19 Pandemic," Discussion papers 24087, Research Institute of Economy, Trade and Industry (RIETI).
    51. Bekaert, Geert & Hoerova, Marie, 2016. "What do asset prices have to say about risk appetite and uncertainty?," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 103-118.
    52. Tarkom, Augustine & Ujah, Nacasius U., 2023. "Inflation, interest rate, and firm efficiency: The impact of policy uncertainty," Journal of International Money and Finance, Elsevier, vol. 131(C).
    53. Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014. "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers 20187, National Bureau of Economic Research, Inc.
    54. Marie Brière & Ombretta Signori, 2012. "Inflation-Hedging Portfolios : Economic Regimes Matter," Post-Print hal-01494498, HAL.
    55. Goodell, John W. & Alon, Ilan & Chiaramonte, Laura & Dreassi, Alberto & Paltrinieri, Andrea & Piserà, Stefano, 2023. "Risk substitution in cryptocurrencies: Evidence from BRICS announcements," Emerging Markets Review, Elsevier, vol. 54(C).
    56. Heimonen, Kari & Junttila, Juha & Kärkkäinen, Samu, 2017. "Stock market and exchange rate information in the Taylor rule: Evidence from OECD countries," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 1-18.
    57. Chao Wei & Fred Joutz, 2011. "Inflation illusion or no illusion: what did pre- and post-war data say?," Applied Financial Economics, Taylor & Francis Journals, vol. 21(21), pages 1599-1603.
    58. Liew, Freddy, 2012. "Forecasting inflation in Asian economies," MPRA Paper 36781, University Library of Munich, Germany.
    59. Garry L. Shelley & Anca Traian & William J. Trainor Jr., 2020. "Stock market "prediction" models," Economics Bulletin, AccessEcon, vol. 40(2), pages 1548-1556.
    60. McMillan, David G., 2019. "Stock return predictability: Using the cyclical component of the price ratio," Research in International Business and Finance, Elsevier, vol. 48(C), pages 228-242.
    61. Charles O. Manasseh & Ambrose N. Omeje, 2016. "Application of Generalized Autoregressive Conditional Heteroschedasticity Model on Inflation and Share Price Movement in Nigeria," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1491-1501.
    62. Gozluklu, Arie & Morin, Annaïg, 2019. "Stock vs. Bond yields and demographic fluctuations," Journal of Banking & Finance, Elsevier, vol. 109(C).

  9. Bekaert, Geert & Xing, Yuhang & Engstrom, Eric, 2006. "Risk, Uncertainty and Asset Prices," CEPR Discussion Papers 5947, C.E.P.R. Discussion Papers.

    Cited by:

    1. Ravi Bansal & Dana Kiku & Amir Yaron, 2012. "Risks For the Long Run: Estimation with Time Aggregation," NBER Working Papers 18305, National Bureau of Economic Research, Inc.
    2. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
    3. Amélie Charles & Olivier Darné & Jae H. Kim, 2022. "Stock return predictability: Evaluation based on interval forecasts," Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 363-385, April.
    4. Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
    5. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
    6. Florens Odendahl & Tatevik Sekhposyan & Barbara Rossi, 2021. "Evaluating Forecast Performance with State Dependence," Working Papers 1295, Barcelona School of Economics.
    7. Pandey, Dharen Kumar & Lucey, Brian M. & Kumar, Satish, 2023. "Border disputes, conflicts, war, and financial markets research: A systematic review," Research in International Business and Finance, Elsevier, vol. 65(C).
    8. Alqaralleh, Huthaifa & Canepa, Alessandra, 2022. "The role of precious metals in portfolio diversification during the Covid19 pandemic: A wavelet-based quantile approach," Resources Policy, Elsevier, vol. 75(C).
    9. Inekwe John Nkwoma, 2014. "Business Cycle Variability and Growth Linkage," Monash Economics Working Papers 38-14, Monash University, Department of Economics.
    10. Michael D. Bauer & James D. Hamilton, 2015. "Robust Bond Risk Premia," CESifo Working Paper Series 5541, CESifo.
    11. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
    12. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers.
    13. Thomas Nitschka, 2012. "Global and country-specific business cycle risk in time-varying excess returns on asset markets," Working Papers 2012-10, Swiss National Bank.
    14. Duarte, Diogo & Saporito, Yuri F., 2019. "Endogenous asymmetric money illusion," Journal of Banking & Finance, Elsevier, vol. 109(C).
    15. Andreas Stathopoulos, 2012. "Portfolio Home Bias and External Habit Formation," 2012 Meeting Papers 502, Society for Economic Dynamics.
    16. Panagiotidis, Theodore & Printzis, Panagiotis, 2020. "What is the investment loss due to uncertainty?," Global Finance Journal, Elsevier, vol. 45(C).
    17. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
    18. Lieven Baele, 2010. "The Determinants of Stock and Bond Return Comovements," The Review of Financial Studies, Society for Financial Studies, vol. 23(6), pages 2374-2428, June.
    19. Naeem, Muhammad Abubakr & Balli, Faruk & Shahzad, Syed Jawad Hussain & de Bruin, Anne, 2020. "Energy commodity uncertainties and the systematic risk of US industries," Energy Economics, Elsevier, vol. 85(C).
    20. Maneesoonthorn, Worapree & Martin, Gael M. & Forbes, Catherine S. & Grose, Simone D., 2012. "Probabilistic forecasts of volatility and its risk premia," Journal of Econometrics, Elsevier, vol. 171(2), pages 217-236.
    21. Claude Bergeron & Tov Assogbavi & Jean-pierre Gueyie, 2020. "Conditional capital asset pricing model, long-run risk, and stock valuation," Economics Bulletin, AccessEcon, vol. 40(1), pages 77-86.
    22. Juan M. Londono & Nancy R. Xu, 2021. "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers 1318, Board of Governors of the Federal Reserve System (U.S.).
    23. Li, Lei & Yin, Libo & Zhou, Yimin, 2016. "Exogenous shocks and the spillover effects between uncertainty and oil price," Energy Economics, Elsevier, vol. 54(C), pages 224-234.
    24. Xu, Nancy R., 2021. "Procyclicality of the comovement between dividend growth and consumption growth," Journal of Financial Economics, Elsevier, vol. 139(1), pages 288-312.
    25. Turan G. Bali & Hao Zhou, 2013. "Risk, Uncertainty, and Expected Returns," Koç University-TUSIAD Economic Research Forum Working Papers 1306, Koc University-TUSIAD Economic Research Forum.
    26. Christoph Görtz & Mallory Yeromonahos, 2021. "Asymmetries in risk premia, macroeconomic uncertainty and business cycles," CAMA Working Papers 2021-101, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    27. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, Department of Economics and Business Economics, Aarhus University.
    28. Lieven Baele & Geert Bekaert & Koen Inghelbrecht & Min Wei, 2020. "Flights to Safety," The Review of Financial Studies, Society for Financial Studies, vol. 33(2), pages 689-746.
    29. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
    30. Carmine Trecroci, 2010. "How do alphas and betas move? Uncertainty, learning and time variation in risk loadings," Working Papers 1012, University of Brescia, Department of Economics.
    31. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
    32. Costantini, Mauro & Sousa, Ricardo M., 2022. "What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality," Journal of International Money and Finance, Elsevier, vol. 122(C).
    33. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc.
    34. Wang, Xunxiao, 2020. "Frequency dynamics of volatility spillovers among crude oil and international stock markets: The role of the interest rate," Energy Economics, Elsevier, vol. 91(C).
    35. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models," Review of Finance, European Finance Association, vol. 21(2), pages 511-553.
    36. Smales, L.A., 2022. "Investor attention in cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 79(C).
    37. Fernandez, Julian, 2020. "Exchange Rate Uncertainty and the Interest Rate Parity," MPRA Paper 116010, University Library of Munich, Germany, revised 2022.
    38. Geert Bekaert & Eric C. Engstrom & Nancy R. Xu, 2022. "The Time Variation in Risk Appetite and Uncertainty," Management Science, INFORMS, vol. 68(6), pages 3975-4004, June.
    39. Bollerslev, Tim & Xu, Lai & Zhou, Hao, 2015. "Stock return and cash flow predictability: The role of volatility risk," Journal of Econometrics, Elsevier, vol. 187(2), pages 458-471.
    40. Bjørn Eraker & Ivan Shaliastovich & Wenyu Wang, 2016. "Durable Goods, Inflation Risk, and Equilibrium Asset Prices," The Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 193-231.
    41. Haijun Wang & L. Steven Hou, 2015. "Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 393-416, November.
    42. Charles, Amelie & Darne, Olivier & Kim, Jae, 2016. "Stock Return Predictability: Evaluation based on Prediction Intervals," MPRA Paper 70143, University Library of Munich, Germany.
    43. Cho, Sungjun, 2014. "What drives stochastic risk aversion?," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 44-63.
    44. Liyan Han & Mengchao Qi & Libo Yin, 2016. "Macroeconomic policy uncertainty shocks on the Chinese economy: a GVAR analysis," Applied Economics, Taylor & Francis Journals, vol. 48(51), pages 4907-4921, November.
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    Cited by:

    1. Geert Bekaert & Seonghoon Cho & Antonio Moreno, 2005. "New-Keynesian Macroeconomics and the Term Structure," NBER Working Papers 11340, National Bureau of Economic Research, Inc.
    2. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, Department of Economics and Business Economics, Aarhus University.
    3. De Santis, Roberto A. & Sarno, Lucio, 2008. "Assessing the benefits of international portfolio diversification in bonds and stocks," Working Paper Series 883, European Central Bank.
    4. Kim, Kun Ho, 2014. "Counter-cyclical risk aversion," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 384-401.
    5. Inekwe John Nkwoma, 2014. "Business Cycle Variability and Growth Linkage," Monash Economics Working Papers 38-14, Monash University, Department of Economics.
    6. Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
    7. Møller, Stig V. & Rangvid, Jesper, 2015. "End-of-the-year economic growth and time-varying expected returns," Journal of Financial Economics, Elsevier, vol. 115(1), pages 136-154.
    8. Tobias Adrian & Richard K. Crump & Emanuel Moench, 2011. "Regression-based estimation of dynamic asset pricing models," Staff Reports 493, Federal Reserve Bank of New York.
    9. Luiz Vitiello & Ser-Huang Poon, 2022. "Option pricing with random risk aversion," Review of Quantitative Finance and Accounting, Springer, vol. 58(4), pages 1665-1684, May.
    10. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
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    12. Benchimol, Jonathan, 2014. "Risk aversion in the Eurozone," Research in Economics, Elsevier, vol. 68(1), pages 39-56.
    13. Geert Bekaert & Eric Engstrom, 2015. "Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals," Finance and Economics Discussion Series 2015-53, Board of Governors of the Federal Reserve System (U.S.).
    14. J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
    15. Scholz, Michael & Sperlich, Stefan & Nielsen, Jens Perch, 2016. "Nonparametric long term prediction of stock returns with generated bond yields," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 82-96.
    16. Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤," Boston University - Department of Economics - Working Papers Series WP2007-030, Boston University - Department of Economics.
    17. Murillo Campello & Long Chen & Lu Zhang, 2008. "Expected returns, yield spreads, and asset pricing tests," The Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1297-1338, May.
    18. Bodilsen, Simon & Eriksen, Jonas N. & Grønborg, Niels S., 2021. "Asset pricing and FOMC press conferences," Journal of Banking & Finance, Elsevier, vol. 128(C).
    19. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, Department of Economics and Business Economics, Aarhus University.
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Articles

  1. Bekaert, Geert & Engstrom, Eric, 2010. "Inflation and the stock market: Understanding the "Fed Model"," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 278-294, April.
    See citations under working paper version above.
  2. Bekaert, Geert & Engstrom, Eric & Grenadier, Steven R., 2010. "Stock and bond returns with Moody Investors," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 867-894, December.
    See citations under working paper version above.
  3. Bekaert, Geert & Engstrom, Eric & Xing, Yuhang, 2009. "Risk, uncertainty, and asset prices," Journal of Financial Economics, Elsevier, vol. 91(1), pages 59-82, January.
    See citations under working paper version above.Sorry, no citations of articles recorded.
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