Risk, uncertainty and monetary policy
Geert Bekaert and
Marie Hoerova
Research Bulletin, 2010, vol. 10, 11-13
Abstract:
This article documents a strong co-movement between a measure of stock market risk (the VIX) and monetary policy. It analyses which of two components of the VIX, risk aversion or uncertainty, are primary drivers of this co-movement. The main findings are that an easing of monetary policy leads to a decrease in risk aversion in the medium run while higher uncertainty leads to a laxer monetary policy. JEL Classification: E44, E52, G12, G20, E32
Keywords: monetary policy; risk aversion; uncertainty; business cycle (search for similar items in EconPapers)
Date: 2010-06
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbrbu:2010:0010:3
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