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

This study investigates the impact of price limits and trading halts (circuit breakers) on the returns volatility of …-2010. Results indicate that the introduction of price limits and trading halts moderated the volatility in the market. More … significantly, price volatility of equity returns reduced as the price limit symmetric band was increased from 5 percent to 10 …

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 …

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 …

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 …

implicit volatility by a decrease in the interest rate. We take our results as strong evidence that central banks use interest …

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 …

This paper documents that ECB announcements increase the stock market volatility in the euro area (EA) on the same day …. I consider two volatility measures from January 1998 to May 2019. First, a realized volatility measure uses intraday … data for 8 different stock market indices. Second, a range measure approximates volatility using daily prices from 11 …

implicit volatility by a decrease in the interest rate. We take our results as strong evidence that central banks use interest …