سیاست های پولی، ریسک متغیر با زمان، و شکست بازار اوراق قرضه سال 1994

Stock and bond prices plummeted in early 1994. These losses occurred while the Fed was raising interest rates. Campbell (1995) argues that the Fed could have triggered the losses either by increasing the risk premium associated with monetary policy uncertainty or by communicating information about incipient inflation. This paper uses a multi-factor model to choose between these two hypotheses. The evidence indicates that both greater monetary policy uncertainty and especially news about inflation explain the asset price declines of 1994.