Abstract

http://ssrn.com/abstract=1692513
 
 

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)

September 2010

NBER Working Paper No. w16397

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: 51

working papers series





Download This Paper

Date posted: October 18, 2010  

Suggested Citation

Bekaert, Geert and Hoerova, Marie and Lo Duca, Marco, Risk, Uncertainty and Monetary Policy (September 2010). NBER Working Paper No. w16397. Available at SSRN: http://ssrn.com/abstract=1692513

Contact Information

Geert Bekaert (Contact Author)
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
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: 280
Downloads: 12
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 apollo7 in 0.250 seconds