This paper examines the correlation between stock and bond returns. It first documents that the major trends in stock-bond correlation for G7 countries follow a similar reverting pattern in the past forty years. Next, an asset pricing model is employed to show that the correlation of stock and bond returns can be explained by their common exposure to macroeconomic factors. The link between the ...

This paper considers a plethora of time-series measures of uncertainty for inflation and real output growth, which are widely used in empirical studies. Their relative performances are compared to a benchmark measure using the uncertainty measure reported by individual forecasters in the Survey of Professional Forecasters (SPF) for the period 1982-2008. The results show that the use of real-tim...

We build a new empirical model to estimate the global impact of an increase in volatility US monetary policy shocks. Specifically, we admit time-varying variances local structural shocks from stochastic specification. By allowing for rich dynamic interaction between endogenous variables and setting, find that interest rate uncertainty not only drives output inflation volatility, but also causes...

Analysts often use financial variables to help predict real activity and inflation. Financial variables offer readily accessible information and, because market participants base their investment decisions on their forecasts of real activity and inflation, the information in financial market variables is deemed to be reliable. One of the most popular financial market variables is the spread bet...

The representatives at this conference from inflation targeting central banks—including Brazil, Canada, Chile, Czech Republic, New Zealand, Korea, Thailand, and the United Kingdom—have provided us with a useful overview of how inflation targeting works in practice. These experiences will be very important as other countries, including Indonesia, consider inflation targeting. We have also had so...

Identification of New Keynesian Phillips Curves from a Global Perspective New Keynesian Phillips Curves (NKPC) have been extensively used in the analysis of monetary policy, but yet there are a number of issues of concern about how they are estimated and then related to the underlying macroeconomic theory. The first is whether such equations are identified. To check identification requires spec...

This paper examines the implications of uncertainty about the effects of monetary policy for optimal monetary policy with an application to the current situation. Using a stylized macroeconomic model, I derive optimal policies under uncertainty for both conventional and unconventional monetary policies. According to an estimated version of this model, the U.S. economy is currently suffering fro...

Background and Objectives: Evaluating the performance of clinical units is critical for effective management of health settings. Certain assessment of clinical variables for performance analysis is not always possible, calling for use of uncertainty theory. This study aimed to develop and evaluate an integrated independent component analysis-fuzzy-data envelopment analysis approach to accurate ...