| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16397 |
| 来源ID | Working Paper 16397 |
| Risk, Uncertainty and Monetary Policy | |
| Geert Bekaert; Marie Hoerova; Marco Lo Duca | |
| 发表日期 | 2010-09-23 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | 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 ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being stronger. The result holds in a structural vector autoregressive framework, controlling for business cycle movements and using a variety of identification schemes for the vector autoregression in general and monetary policy shocks in particular. |
| 主题 | Macroeconomics ; Business Cycles ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16397 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574072 |
| 推荐引用方式 GB/T 7714 | Geert Bekaert,Marie Hoerova,Marco Lo Duca. Risk, Uncertainty and Monetary Policy. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16397.pdf（890KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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