1. ADS represents the Aruoba, Diebold and Scotti macroeconomic activity indicator (02/1960 -04/2014), KCFED represents the Kansas City FED macroeconomic indicator index (01/1990 -04/2014), NBER represents a recession period dummy (07/1926 -04/2014), CFNAI represents the Chicago FED National Activity Index (02/1967 -04/2014), Fin and Macro Uncert. indicates Jurando, Ludvigson and Ng (2015) financial and macroeconomic uncertainty index respectively;Predictive regressions are run for a variety of macroeconomic indicators
2. All regressions control for 12 lags of the endogenous variable;Louis FED Financial Stress Index (01/1994 -04/2014) and EPU represents the Economic Policy Uncertainty Index of Backer, Bloom and Davis,2015
3. Macro refers to Bali, Brown and Caglayan (2014) macroeconomic uncertainty index (01/1994 -12/2013) and CAFTIN denotes Allen, Bali and Tang (2012) systemic risk measure (01/1973 -12/2012). All regressions control for 12 lags of the endogenous variable. Bali, Brown and Caglayan (2014) is I(1) so we perform the regression in first differences;Predictive regressions are run for a variety of Tail Risk indexes using the Hellinger Tail Risk as a predictor. KJ refers to Kelly and Jiang (2014) tail risk index,1963