This study assesses the roles of Bitcoin as a hedge, a safe haven and/or a diversifier against
extreme oil price movements, in comparison to the corresponding roles of gold. We use a …

We construct a new measure of uncertainty about Federal Reserve policy actions and their
consequences, a monetary policy uncertainty (MPU) index. We evaluate the information …

We develop new economic policy uncertainty (EPU) indices for Japan from January 1987
onwards, building on the approach of Baker, Bloom and Davis (2016). Each index reflects …

Uncertainty about future policy rates plays a crucial role for the transmission of monetary
policy to financial markets. We demonstrate this using event studies of FOMC …

We examine whether monetary policy uncertainty influences the reaction of the equity,
Treasury security, foreign exchange and crude oil markets, as well as medium-term interest …

This paper provides an innovative perspective on the role of gold as a hedge and safe
haven. We use a quantile-on-quantile regression approach to capture the dependence …

This paper studies the nonlinear response of the term structure of interest rates to monetary
policy shocks and presents a new stylized fact. We show that uncertainty about monetary …

In this paper we provide strong evidence that heightened uncertainty in the US real
economy or financial markets significantly raises excess returns to the currency carry trade …

Has heightened uncertainty been a major contributor to the Great Recession and the slow
recovery in the United States? To answer this question, we identify exogenous changes in …

The study examines the effect of monetary and fiscal policy on inequality conditioned on low
and high uncertainty. We use US quarterly time series data on different measures of income …