Treasury yield implied volatility and real activity

Abraham, 1986, Cyclical unemployment: sectoral shifts or aggregate disturbances?, J. Political Economy, 94, 507, 10.1086/261387

Ang, 2002, International asset allocation with regime shifts, Rev. Financ. Stud., 15, 1137, 10.1093/rfs/15.4.1137

Ang, 2006, What does the yield curve tell us about GDP growth?, J. Econom., 131, 359, 10.1016/j.jeconom.2005.01.032

Aruoba, 2010, Real-time macroeconomic monitoring: real activity, inflation, and interactions, Am. Econ. Rev., 100, 20, 10.1257/aer.100.2.20

Bachmann, 2013, Uncertainty and economic activity: evidence from business survey data, Am. Econ. J. Macroecon., 5, 217, 10.1257/mac.5.2.217

Backus, 2011, Disasters implied by equity index options, J. Financ., 66, 1969, 10.1111/j.1540-6261.2011.01697.x

Baker, 2012, Has economic policy uncertainty hampered the recovery?

Bakshi, 2011, Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios, J. Financ. Econ., 100, 475, 10.1016/j.jfineco.2011.01.002

Bansal, 2004, Risks for the long run: a potential resolution of asset pricing puzzles, J. Financ., 59, 1481, 10.1111/j.1540-6261.2004.00670.x

Bansal, 2002, Term structure of interest rates with regime shifts, J. Financ., 57, 1997, 10.1111/0022-1082.00487

Barone-Adesi, 1987, Efficient analytic approximation of American option values, J. Financ., 42, 301, 10.1111/j.1540-6261.1987.tb02569.x

Bekaert, 2010, New Keynesian macroeconomics and the term structure, J. Monet. Econ., 42, 33

Bekaert, 2014, The VIX, the variance premium and stock market volatility, J. Econom., 183, 181, 10.1016/j.jeconom.2014.05.008

Bekaert, 2013, Risk, uncertainty and monetary policy, J. Monet. Econ., 60, 771, 10.1016/j.jmoneco.2013.06.003

Black, 1976, The pricing of commodity contracts, J. Financ. Econ., 3, 167, 10.1016/0304-405X(76)90024-6

Bloom, 2009, The impact of uncertainty shocks, Econometrica, 77, 623, 10.3982/ECTA6248

Bloom, 2014, Fluctuations in uncertainty, J. Econ. Perspect., 28, 153, 10.1257/jep.28.2.153

Bloom, 2012, Really uncertain business cycles

Boyle, 1989, The quality option and timing option in futures contracts, J. Financ., 44, 101, 10.1111/j.1540-6261.1989.tb02406.x

Brandt, 2007, Price discovery in the Treasury futures market, J. Fut. Mark., 27, 1021, 10.1002/fut.20275

Breeden, 1979, An intertemporal asset pricing model with stochastic consumption and investment opportunities, J. Financ. Econ., 7, 265, 10.1016/0304-405X(79)90016-3

Bretscher, 2018, Interest rate risk management in uncertain times, Rev. Financ. Stud., 31, 3019, 10.1093/rfs/hhy039

Canina, 1993, The informational content of implied volatility, Rev. Financ. Stud., 6, 659, 10.1093/rfs/5.3.659

Carr, 2009, Variance risk premiums, Rev. Financ. Stud., 22, 1311, 10.1093/rfs/hhn038

Cesa-Bianchi, 2018, Uncertainty and Economic Activity: a Multicountry Perspective

Chen, 1991, Financial investment opportunities and the macroeconomy, J. Financ., 46, 529, 10.1111/j.1540-6261.1991.tb02673.x

Choi, 2016, Bond variance risk premiums, Rev. Financ., 21, 987, 10.1093/rof/rfw072

Culp, 2018, Option-based credit spreads, Am. Econ. Rev., 108, 454, 10.1257/aer.20151606

Dai, 2002, Expectation puzzles, time-varying risk premia, and affine models of the term structure, J. Financ. Econ., 63, 415, 10.1016/S0304-405X(02)00067-3

Dai, 2007, Are regime shifts priced in US treasury markets?, Rev. Financ. Stud., 20, 1669, 10.1093/rfs/hhm021

David, 2014, Investors’ and central Bank’s uncertainty embedded in index options, Rev. Financ. Stud., 27, 1661, 10.1093/rfs/hhu024

Diebold, 2005, Modeling bond yields in finance and macroeconomics, Am. Econ. Rev., 95, 415, 10.1257/000282805774670194

Diether, 2002, Differences of opinion and the cross section of stock returns, J. Financ., 57, 2113, 10.1111/0022-1082.00490

Ederington, 1996, The creation and resolution of market uncertainty: the impact of information releases on implied volatility, J. Financ. Quant. Anal., 31, 513, 10.2307/2331358

Ederington, 1993, How markets process information: news releases and volatility, J. Financ., 48, 1161, 10.1111/j.1540-6261.1993.tb04750.x

Estrella, 1991, The term structure as a predictor of real economic activity, J. Financ., 46, 555, 10.1111/j.1540-6261.1991.tb02674.x

Estrella, 1998, Predicting US recessions: financial variables as leading indicators, Rev. Econ. Stat., 80, 45, 10.1162/003465398557320

Ewing, 2005, Single housing starts and macroeconomic activity: an application of generalized impulse response analysis, Appl. Econ. Lett., 12, 187, 10.1080/1350485052000337806

Fama, 1981, Stock returns, real activity, inflation, and money, Am. Econ. Rev., 71, 545

Fama, 1990, Stock returns, expected returns, and real activity, J. Financ., 45, 1089, 10.1111/j.1540-6261.1990.tb02428.x

Fama, 1990, Term-structure forecasts of interest rates, inflation and real returns, J. Monet. Econ., 25, 59, 10.1016/0304-3932(90)90045-6

Fama, 1989, Business conditions and expected returns on stocks and bonds, J. Financ. Econ., 25, 23, 10.1016/0304-405X(89)90095-0

Ferrara, 2014, Forecasting growth during the Great Recession: is financial volatility the missing ingredient?, Econ. Model., 36, 44, 10.1016/j.econmod.2013.08.042

Ferris, 2003, Predicting implied volatility in the commodity futures options markets, Int. J. Bank. Financ., 1, 73

Fornari, 2013, Financial volatility and economic activity, J. Financ. Manag. Mark. Inst., 1, 155

Gertler, 1999, The information in the high-yield bond spread for the business cycle: evidence and some implications, Oxford Rev. Econ. Policy, 15, 132, 10.1093/oxrep/15.3.132

Gilchrist, 2009, Credit market shocks and economic fluctuations: evidence from corporate bond and stock markets, J. Monet. Econ., 56, 471, 10.1016/j.jmoneco.2009.03.017

Gilchrist, 2012, Credit spreads and business cycle fluctuations, Am. Econ. Rev., 102, 1692, 10.1257/aer.102.4.1692

Goodhart, 2000, Do asset prices help to predict consumer price inflation?, Manchester School, 68, 122, 10.1111/1467-9957.68.s1.7

Hansen, 1991, Implications of security market data for models of dynamic economies, J. Political Economy, 99, 225, 10.1086/261749

Harvey, 1988, The real term structure and consumption growth, J. Financ. Econom., 22, 305, 10.1016/0304-405X(88)90073-6

Harvey, 1989, Forecasts of economic growth from the bond and stock markets, Financ. Anal. J., 45, 38, 10.2469/faj.v45.n5.38

Hegde, 1988, An empirical analysis of implicit delivery options in the Treasury bond futures contracts, J. Bank. Financ., 12, 469, 10.1016/0378-4266(88)90010-6

Hemler, 1990, The quality delivery option in Treasury bond futures contracts, J. Financ., 5, 1565, 10.1111/j.1540-6261.1990.tb03728.x

Johnston, 1991, Day-of-the-week effects in financial futures: An analysis of GNMA, T-bond, T-note, and T-bill contracts, J. Financ. Quant. Anal., 26, 23, 10.2307/2331241

Jorion, 1995, Predicting volatility in the foreign exchange market, J. Financ., 50, 507, 10.1111/j.1540-6261.1995.tb04793.x

Jurado, 2015, Measuring uncertainty, Am. Econ. Rev., 105, 1177, 10.1257/aer.20131193

Lamoureux, 1993, Forecasting stock-return variance: toward an understanding of stochastic implied volatilities, Rev. Financ. Stud., 6, 293, 10.1093/rfs/6.2.293

Ludvigson, 2015, Uncertainty and business cycles: exogenous impulse or endogenous response?

Mishkin, 1990, The information in the longer maturity term structure about future inflation, Q. J. Econ., 105, 815, 10.2307/2937901

Mishkin, 1990, What does the term structure tell us about future inflation?, J. Monet. Econ., 25, 77, 10.1016/0304-3932(90)90046-7

Mizrach, 2008, Information shares in the US treasury market, J. Bank. Financ., 32, 1221, 10.1016/j.jbankfin.2007.10.007

Philippon, 2009, The bond market’s q, Q. J. Econ., 124, 1011, 10.1162/qjec.2009.124.3.1011

Ritchken, 1995, A multifactor model of the quality option in treasury futures contracts, J. Financ. Res., 18, 261, 10.1111/j.1475-6803.1995.tb00566.x

Schwert, 1989, Why does stock market volatility change over time?, J. Financ., 44, 1115, 10.1111/j.1540-6261.1989.tb02647.x

Shiller, 1981, Do stock prices move too much to be justified by subsequent changes in dividends?, Am. Econ. Rev., 71, 421

Stock, 1989, New indexes of coincident and leading economic indicators, NBER Macroecon. Annu., 4, 351, 10.1086/654119

Stock, 2003, Forecasting output and inflation: the role of asset prices, J. Econ. Lit., 41, 788, 10.1257/jel.41.3.788

Triantafyllou, 2015, Volatility forecasting and time-varying variance risk premiums in grains commodity markets, J. Agric. Econ., 66, 329, 10.1111/1477-9552.12101

Wright, 2006, The yield curve and predicting recessions