Risk, Uncertainty and Monetary Policy
Geert Bekaert (),
Marie Hoerova () and
Marco Lo Duca
No 16397, NBER Working Papers from National Bureau of Economic Research, Inc
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.
JEL-codes: E32 E44 E52 G12 (search for similar items in EconPapers)
Note: AP ME
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Published as Bekaert, Geert & Hoerova, Marie & Lo Duca, Marco, 2013. "Risk, uncertainty and monetary policy," Journal of Monetary Economics, Elsevier, vol. 60(7), pages 771-788.
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Journal Article: Risk, uncertainty and monetary policy (2013)
Working Paper: Risk, uncertainty and monetary policy (2013)
Working Paper: Risk, uncertainty and monetary policy (2012)
Journal Article: Risk, uncertainty and monetary policy (2010)
Working Paper: Risk, Uncertainty and Monetary Policy (2010)
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