Abstract

http://ssrn.com/abstract=1561171
 
 

References (301)



 
 

Citations (24)



 


 



Risk, Uncertainty and Monetary Policy


Geert Bekaert


Columbia Business School - Finance and Economics; National Bureau of Economic Research (NBER)

Marie Hoerova


European Central Bank (ECB)

Marco Lo Duca


European Central Bank (ECB)

July 2012


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 (“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.

Number of Pages in PDF File: 50

Keywords: Monetary policy, Option implied volatility, Risk aversion, Uncertainty, Business cycle, Stock market volatility dynamics

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

working papers series





Download This Paper

Date posted: March 8, 2010 ; Last revised: September 4, 2012

Suggested Citation

Bekaert, Geert and Hoerova, Marie and Lo Duca, Marco, Risk, Uncertainty and Monetary Policy (July 2012). Available at SSRN: http://ssrn.com/abstract=1561171 or http://dx.doi.org/10.2139/ssrn.1561171

Contact Information

Geert Bekaert
Columbia Business School - Finance and Economics ( email )
3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Marie Hoerova (Contact Author)
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
Marco Lo Duca
European Central Bank (ECB) ( email )
Kaiserstrasse 29
Frankfurt am Main, D-60311
Germany
Feedback to SSRN


Paper statistics
Abstract Views: 5,820
Downloads: 1,465
Download Rank: 5,115
References:  301
Citations:  24

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.390 seconds