Risk, uncertainty and monetary policy

Marco Lo Duca, Marie Hoerova and Geert Bekaert

No 1565, Working Paper Series from European Central Bank

Abstract: 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 ( JEL Classification: E44, E52, G12, G20, E32

Keywords: business cycle; monetary policy; option implied volatility; risk aversion; uncertainty (search for similar items in EconPapers)
Date: 2013-07
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
Note: 452517
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Citations: View citations in EconPapers (742)

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Related works:
Journal Article: 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)
Working Paper: Risk, Uncertainty and Monetary Policy (2010)
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