Search Results

No results found.

(refine search)
SORT BY: PREVIOUS / NEXT
Author:Qian, Charles 

Working Paper
The Decline in Asset Return Predictability and Macroeconomic Volatility
We document strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982, and a significant decline in this predictability during the Great Moderation. These findings are robust to alternative empirical specifications and out-of-sample tests. We explore the predictability decline using a model that incorporates monetary policy and shocks with time-varying volatility. The decline is consistent with changes in both policy and shock dynamics. While an increase in the response to inflation in the interest-rate policy rule decreases volatility, more persistent and less volatile shocks explain the lower predictability.
AUTHORS: Hsu, Alex; Palomino, Francisco J.; Qian, Charles
DATE: 2017-05

FILTER BY Content Type

FILTER BY Author

FILTER BY Jel Classification

E14 1 items

E44 1 items

G12 1 items

G18 1 items

PREVIOUS / NEXT