Monetary policy uncertainty and stock market volatility

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

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Year of publication:	[2022]
Authors:	Ma, Chaoqun ; Hsiao(Xiao), Shisong ; Zhang, Ting ; Deng, Liurui
Publisher:	[S.l.] : SSRN
Subject:	Geldpolitik \| Monetary policy \| Volatilität \| Volatility \| Risiko \| Risk \| Aktienmarkt \| Stock market \| Börsenkurs \| Share price \| Kapitaleinkommen \| Capital income

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Extent:	1 Online-Ressource (23 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 20, 2022 erstellt
Other identifiers:	10.2139/ssrn.4013502 [DOI]
Classification:	E52 - Monetary Policy (Targets, Instruments, and Effects) ; G12 - Asset Pricing ; G17 - Financial Forecasting
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013307935