Comparing U.S. and European Market Volatility Responses to Interest Rate Policy Announcements
Kevin Krieger,
Nathan Mauck and
Joseph Vasquez
MPRA Paper from University Library of Munich, Germany
Abstract:
We examine the response of U.S. (VIX) and German (VDAX) implied volatility indices to the announcement of interest rate policy decisions by the Federal Open Market Committee (FOMC) and the European Central Bank (ECB). We confirm prior findings that VIX declines on FOMC meetings days. We present new findings that indicate that VDAX declines on FOMC meeting days, but is not related to ECB meeting days. VIX is unrelated to ECB meeting days. Taken collectively, our results indicate a prominent position for the FOMC in determining uncertainty levels both domestically and abroad relative to no relation between uncertainty levels and the ECB. JEL
Keywords: FOMC; ECB; VIX; VDAX; Monetary policy; Volatility spillover (search for similar items in EconPapers)
JEL-codes: E44 E52 E58 F3 F62 G20 G21 G28 (search for similar items in EconPapers)
Date: 2014-01-14
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac and nep-mon
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https://mpra.ub.uni-muenchen.de/52959/1/MPRA_paper_52959.pdf original version (application/pdf)
Related works:
Journal Article: Comparing U.S. and European market volatility responses to interest rate policy announcements (2015) 
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:52959
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