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implicit volatility by a decrease in the interest rate. We take our results as strong evidence that central banks use interest …
Persistent link: https://www.econbiz.de/10010202818
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 …
Persistent link: https://www.econbiz.de/10010395968
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 …
Persistent link: https://www.econbiz.de/10013026088
Uncertainty and monetary policy decisions in the U.S. interact with one another. Contrary to the common notion that FOMC announcements resolve a non-trivial amount of economic uncertainty, we find that the announcement commands a sizable left-tail premium, which builds up a few days in advance....
Persistent link: https://www.econbiz.de/10013228844
debt markets around new sovereign debt auctions. This effect increases in market volatility. Cycles caused by domestic … auctions and the role of market volatility are largest for countries with low credit ratings. Auctions by these countries … generate highly-significant auction cycles in other countries. Auction cycles can have a non-negligible effect on debt …
Persistent link: https://www.econbiz.de/10012846683
This study provides new evidence on the relationship between unconventional monetary policy and auction cycles in the … public debt auctions. The findings indicate that Eurosystem's asset purchase flows mitigate yield cycles during auction … periods and counteract the amplification impact of market volatility. The dampening effect of central bank asset purchases on …
Persistent link: https://www.econbiz.de/10014527031
We document strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982 … policy and shocks with time-varying volatility. The decline is consistent with changes in both policy and shock dynamics …. While an increase in the response to inflation in the interest-rate policy rule decreases volatility, more persistent and …
Persistent link: https://www.econbiz.de/10011709322
addition, our model suggests that optimal monetary policy is not concerned with stock price volatility, does not attempt to …, producing lower inflation volatility when compared to the constant money supply policy rule …
Persistent link: https://www.econbiz.de/10013091822
implicit volatility by a decrease in the interest rate. We take our results as strong evidence that central banks use interest …
Persistent link: https://www.econbiz.de/10012988658
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 …
Persistent link: https://www.econbiz.de/10013307935