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 …

-commodity price covariance, procyclical interest rates, negative price of exchange rate volatility, and countercyclical currency risk … target rates from the OIS prices to predict the outcome of monetary policy meetings around the world. In the US, a randomly … zukünftigen Zielzinssätze aus den OIS-Preisen, um das Ergebnis der geldpolitischen Gremien auf der ganzen Welt vorherzusagen. In …