Krieger, Kevin; Mauck, Nathan; Vasquez, Joseph - Volkswirtschaftliche Fakultät, … - 2014
We examine the response of U.S. (VIX) and German (VDAX) implied volatility indices to the announcement of interest rate … policy decisions by the Federal Open Market Committee (FOMC) and the European Central Bank (ECB). We confirm prior findings … is not related to ECB meeting days. VIX is unrelated to ECB meeting days. Taken collectively, our results indicate a …