Risk, uncertainty and monetary policy

"We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), and analyze their dynamic interactions w...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
1. Verfasser: Bekaert, Geert (VerfasserIn)
Weitere Verfasser: Hoerova, Marie (VerfasserIn), Lo Duca, Marco (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: Cambridge, Mass. 2010
Schriftenreihe:NBER working paper series 16397
Schlagworte:
1990-2007 > Finanzmarkt > Entscheidung unter Risiko > Risikoaversion > Aktienmarkt > Geldpolitik > Volatilität > USA > Arbeitspapier > Graue Literatur
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:"We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), and analyze their dynamic interactions with monetary policy in a structural vector autoregressive framework. A lax monetary policy decreases risk aversion after about five months. Monetary authorities react to periods of high uncertainty by easing monetary policy. These results are robust to controlling for business cycle movements. We further investigate channels through which monetary policy may affect risk aversion, e.g., through its effects on broad liquidity measures and credit"--National Bureau of Economic Research web site
Beschreibung:Parallel als Online-Ausg. erschienen
Beschreibung:40 S.
graph. Darst.