euro area covering the real economy, monetary policy and measures of ex ante and ex post systemic risk representing … take a risk management perspective, One exercise considers the intertemporal financial stability trade-off in the context …

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy … shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification …. By allowing for rich dynamic interaction between the endogenous variables and time-varying volatility in the global …

monetary policy shocks. Although the increase in the volatility risk premium, futures-trading volume, and leverage appear to …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 …

Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a … structural VAR analysis. Testable conditions are given for full identification for the case where the volatility changes can be …