Arbeitspapier
Monetary policy and stock market volatility
We estimate forward-looking interest rate reaction functions in the spirit of Taylor (1993) for four major central banks augmented by implicit volatilities of stock market indices to proxy financial market stress. Our results suggest that the Bank of England, the Federal Reserve Bank and the European Central Bank systematically respond to an increase of the implicit volatility by a decrease in the interest rate. We take our results as strong evidence that central banks use interest rates to stabilize financial markets in periods of financial market stress.
- ISBN
-
978-3-86558-977-4
- Sprache
-
Englisch
- Erschienen in
-
Series: Bundesbank Discussion Paper ; No. 45/2013
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Central Banks and Their Policies
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Monetary policy
Taylor rule
Asset prices
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bleich, Dirk
Fendel, Ralf
Rülke, Jan-Christoph
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bleich, Dirk
- Fendel, Ralf
- Rülke, Jan-Christoph
- Deutsche Bundesbank
Entstanden
- 2013
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