In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses … for equity variance and volatility at weekly, monthly and even quarterly horizons. The findings imply that market views of …Asset pricing models assume the risk-free rate to be a key factor for equity prices. Hence, there should be a strong …

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a … vector autoregressive model, our findings reveal a significant and asymmetric response of stock returns and volatility to … monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …

using inflation-induced equity market volatility (EMV) to better account for bond price determinants. The regression model … the domestic market (expect in Japan). This study introduces the equity market volatility arising from inflation or the …, a GED-GARCH (1,1) procedure, is adopted to deal with the volatility clustering and fat tail features in bond return …

significantly, price volatility of equity returns reduced as the price limit symmetric band was increased from 5 percent to 10 … unidirectional causal flow from equity returns volatility to traded volume suggesting that equity returns volatility may predict …This study investigates the impact of price limits and trading halts (circuit breakers) on the returns volatility of …

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …

correlations between monetary policy, economic growth, inflation and asset price volatility, explores the creation of financial …

implied term structure is solved in a novel way utilizing equity analysts' dividend forecasts and dividend future prices. The …

We investigate the impact of monetary policy announcements on stock market volatility in the U.S., Canada, Japan, the U … easing announcements of domestic and foreign central banks on realized volatility before, during, and after the event. We … find that on the day of an interest rate announcement of the domestic central bank, volatility increases in a manner that …