Showing 1 - 10 of 7,027
Persistent link: https://www.econbiz.de/10012036619
Persistent link: https://www.econbiz.de/10012036697
Persistent link: https://www.econbiz.de/10011756344
Persistent link: https://www.econbiz.de/10012210880
Persistent link: https://www.econbiz.de/10011748355
across countries through risk variables, spurring a literature on the "global financial cycle." This paper studies how … (conventional and unconventional) monetary policy shocks affect risk and uncertainty in three large economies: the US, euro area …, and Japan. We construct measures of financial risk factors for each country by decomposing option-implied variances of the …
Persistent link: https://www.econbiz.de/10012834260
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...
Persistent link: https://www.econbiz.de/10013243822
Persistent link: https://www.econbiz.de/10012416845
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...
Persistent link: https://www.econbiz.de/10012418859
Persistent link: https://www.econbiz.de/10014480276