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- W2116189245 abstract "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 between Treasury bond volatility and uncertainty about macroeconomic variables is much stronger than for the more traditional time series measures of macroeconomic volatility and adds beyond the information contained in lagged bond market volatility. Uncertainty about monetary policy subsumes the uncertainty about future inflation (consumer price index and the deflator) and economic activity (unemployment, real and nominal gross domestic product and industrial production). In addition, causality clearly runs one way: from monetary policy uncertainty to Treasury bond volatility." @default.
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- W2116189245 date "2010-07-13" @default.
- W2116189245 modified "2023-09-27" @default.
- W2116189245 title "Treasury Bond Volatility and Uncertainty about Monetary Policy" @default.
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- W2116189245 doi "https://doi.org/10.1111/j.1540-6288.2010.00267.x" @default.
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