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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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Related works:
Journal Article: Risk, uncertainty and monetary policy (2013) Downloads
Working Paper: Risk, uncertainty and monetary policy (2013) Downloads
Working Paper: Risk, uncertainty and monetary policy (2012) Downloads
Working Paper: Risk, Uncertainty and Monetary Policy (2010) Downloads
Working Paper: Risk, Uncertainty and Monetary Policy (2010) Downloads
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