Gone with the Vol: A Decline in Asset Return Predictability During the Great Moderation

The authors appreciate valuable comments from Andrew Chen, John Duca, Michael Gallmeyer, Hiroatsu Tanaka, Jessica Wachter, Michael Weber, and Julieta Yung. The authors also thank seminar participants at the Federal Reserve Bank of Dallas, McIntire School of Commerce at the University of Virginia, the Scheller College of Business, Banco de México, the Board of Governors of the Federal Reserve System, the European Meeting of the Econometric Society 2017, and the Latin America Meeting of the Econometric Society 2017. The material in this manuscript does not represent the views of the Board of Governors of the Federal Reserve System.