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 investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility … of German stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy … surprises in the United States, whereas monetary policy surprises in the Euro zone matter for bond return volatility. These …

to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and … employ a TVP-VAR approach with stochastic volatility to assess the evolution of the interest rate in relation to housing and … spanning the period from 1890 to 2012 indicate that the interest rate responds more strongly to asset returns during low-volatility …

to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and … employ a TVP-VAR approach with stochastic volatility to assess the evolution of the interest rate in relation to housing and … spanning the period from 1890 to 2013 indicate that the interest rate responds more strongly to asset returns during low-volatility …

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 …

limit the adverse effects of excess capital flow volatility on the macroeconomic and financial stability of Turkey. In this … paper, we study the effectiveness of ROM on the volatility of Turkish Lira, and to the best of our knowledge, it is the … decreasing the volatility of Turkish lira in the sample period …

in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …