Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets
Elie Bouri (),
Konstantinos Gkillas (Gillas) (),
Rangan Gupta and
No 201939, Working Papers from University of Pretoria, Department of Economics
We analyze the role of monetary policy uncertainty in predicting volatility jumps in nine advanced equity markets. The standard linear Granger causality test detects weak evidence of monetary policy uncertainty causing volatility jumps. But given the strong evidence of nonlinearity between jumps and monetary policy uncertainty, we next use a nonparametric causality-in-quantiles test, since the linear model is misspecified. Using this data-driven robust approach we find strong evidence of the role of monetary policy uncertainty in predicting volatility jumps, especially towards the lower end of the conditional distribution.
Keywords: Stock Market Volatility Jumps; Monetary Policy Uncertainty (search for similar items in EconPapers)
JEL-codes: C22 G10 (search for similar items in EconPapers)
Pages: 18 pages
New Economics Papers: this item is included in nep-cba and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201939
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