| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8154 |
| DP8154 Risk, Uncertainty and Monetary Policy | |
| Geert Bekaert; Marco Lo Duca; Marie Hoerova | |
| 发表日期 | 2010-12-01 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), and analyze their dynamic interactions with monetary policy in a structural vector autoregressive framework. A lax monetary policy decreases risk aversion after about five months. Monetary authorities react to periods of high uncertainty by easing monetary policy. These results are robust to controlling for business cycle movements. We further investigate channels through which monetary policy may affect risk aversion, e.g., through its effects on broad liquidity measures and credit. |
| 主题 | Financial Economics |
| 关键词 | Business cycle monetary policy Option implied volatility Risk aversion Stock market volatility dynamics Uncertainty |
| URL | https://cepr.org/publications/dp8154 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536991 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Marco Lo Duca,Marie Hoerova. DP8154 Risk, Uncertainty and Monetary Policy. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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