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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2015
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …
Persistent link: https://www.econbiz.de/10013039100
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Chapter 18. Macro, Money, and Finance : A Continuous-Time Approach
Brunnermeier, M.K.; Sannikov, Y. - In: Handbook of macroeconomics : volume 2, v. 2A-2B SET, (pp. 1497-1545). 2016
(1) level and risk dynamics. The latter includes (2) tail risk and crisis probability as well as (3) the Volatility …
Persistent link: https://www.econbiz.de/10014024265
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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2012
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …
Persistent link: https://www.econbiz.de/10013099439
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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2012
We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy …. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility (“uncertainty …
Persistent link: https://www.econbiz.de/10013113166
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Risk, uncertainty and monetary policy
Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2012
Persistent link: https://www.econbiz.de/10009664877
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Risk, uncertainty and monetary policy
Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - 2012
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …
Persistent link: https://www.econbiz.de/10011590620
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Risk, Uncertainty and Monetary Policy
Bekaert, Geert - 2013
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …
Persistent link: https://www.econbiz.de/10013080094
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Does the clarity of inflation reports affect volatility in financial markets?
Bulíř, Aleš; Čihák, Martin; Jansen, David-Jan - 2014
Persistent link: https://www.econbiz.de/10010408953
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Market volatility transmission and central banking : what happened during the subprime crisis?
Bensafta, Kamel Malik; Semedo, Gervasio - In: International economic journal 28 (2014) 4, pp. 559-588
Persistent link: https://www.econbiz.de/10010504200
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Does the clarity of monetary policy reports reduce volatility in financial markets?
Bulíř, Aleš; Čihák, Martin; Jansen, David-Jan - In: Finance a úvěr 68 (2018) 1, pp. 2-17
Persistent link: https://www.econbiz.de/10011897340