The Decline in Asset Return Predictability and Macroeconomic Volatility
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DOI: 10.17016/FEDS.2017.050
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More about this item
Keywords
Asset return predictability; Great Moderation; Monetary policy; Time-varying macroeconomic volatility;All these keywords.
JEL classification:
- E14 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Austrian; Evolutionary; Institutional
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2017-05-14 (Financial Markets)
- NEP-MAC-2017-05-14 (Macroeconomics)
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