Download This PaperMonetary policy uncertainty and stock market volatility
23 Pages Posted: 20 Jan 2022
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Monetary policy uncertainty and stock market volatility
Number of pages: 23
Posted: 20 Jan 2022
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Monetary Policy Uncertainty and Stock Market Volatility
Number of pages: 65
Posted: 10 Sep 2022
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Date Written: January 20, 2022
Abstract
The paper investigates the effect of monetary policy uncertainty on stock market volatility. Higher monetary uncertainty leads to lower stock market volatility both in sample and out of sample. Monetary policy uncertainty matters more for the volatility of big firms, profitable firms and past winner firms. The channel of future cash flow volatility helps explaining the negative effect.
Keywords: Monetary policy uncertainty, Stock volatility, Predictability
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JEL Classification: E52, G12, G17
Suggested Citation: Suggested Citation
Ma, Chaoqun and Hsiao, Shisong and Zhang, Ting and Deng, Liurui, Monetary policy uncertainty and stock market volatility (January 20, 2022). Available at SSRN: https://ssrn.com/abstract=4013502 or http://dx.doi.org/10.2139/ssrn.4013502
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