Risk, uncertainty and monetary policy

Arbeitspapier

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty”), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being stronger. The result holds in a structural vector autoregressive framework, controlling for business cycle movements and using a variety of identification schemes for the vector autoregression in general and monetary policy shocks in particular.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: NBB Working Paper ; No. 229

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Markets and the Macroeconomy ; Monetary Policy ; Asset Pricing; Trading Volume; Bond Interest Rates ; Financial Institutions and Services: General ; Business Fluctuations; Cycles
• Thema: Monetary policy ; Option implied volatility ; Risk aversion ; Uncertainty ; Business cycle ; Stock market volatility dynamics ; Finanzmarkt ; Entscheidung unter Risiko ; Risikoaversion ; Aktienmarkt ; Geldpolitik ; Volatilität ; USA

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Bekaert, Geert ; Hoerova, Marie ; Lo Duca, Marco
• Ereignis: Veröffentlichung
• (wer): National Bank of Belgium
• (wo): Brussels
• (wann): 2012

Weitere Informationen

• Handle: http://hdl.handle.net/10419/144441
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ