We apply the concept of carry, which has been studied almost exclusively in currency markets,
to any asset. A security’s expected return is decomposed into its “carry,” an ex-ante and …

This paper measures the impact of monetary policy shocks on regional and sectoral output
in the Netherlands for the period 1973 to 1993. We document large regional and sectoral …

We provide empirical evidence on the link between stock market volatility and macroeconomic
uncertainty. We show that US stock market volatility is significantly related to the …

… I would also like to thank Wenneke Vrugt-Repko for her extensive support in preparing
the data and an anonymous reviewer for constructive comments and suggestions. …

Survey expectations of returns predict future returns negatively across countries and in three
major asset classes: equities, currencies, and fixed income. The large negative returns from …

This paper estimates the impact of interest rate shocks on regional output in Germany over
the period from 1970 to 2000. We use a vector autoregression (VAR) model to obtain impulse …

We show that dispersion‐based uncertainty about the future course of monetary policy is the
single most important determinant of Treasury bond volatility across all maturities. The link …

Recent research documents that commodities are good diversifiers in traditional investment
portfolios: overall portfolio risk is reduced while less than proportional return is sacrificed. …

This paper provides empirical evidence on the link between stock market volatility and
macroeconomic uncertainty. We show that US stock market volatility is significantly related to the …

We show that the annual excess return of the S&P 500 is almost 10 percent higher during
the last two years of the presidential cycle than during the first two years. This pattern cannot …