Bekaert, Geert
[VerfasserIn]
;
Hoerova, Marie
[Sonstige Person, Familie und Körperschaft];
Lo Duca, Marco
[Sonstige Person, Familie und Körperschaft]National Bureau of Economic Research
Erschienen:
Cambridge, Mass: National Bureau of Economic Research, September 2010
Erschienen in:NBER working paper series ; no. w16397
Umfang:
1 Online-Ressource
Sprache:
Englisch
DOI:
10.3386/w16397
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
Mode of access: World Wide Web
System requirements: Adobe [Acrobat] Reader required for PDF files
Beschreibung:
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