volatility and macroeconomic instability in the midst of the global recession. …

An unanticipated tightening of monetary policy increases option implied volatility in equity and bond markets. At the … same time, realized volatility declines over the period corresponding to the increase in option implied volatility. The … result is a decrease in the volatility swap return, defined as a forward contract on the realized volatility of an underlying …

We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for …

unemployment depends positively on the drift coefficients and negatively on the volatility coefficients of both price and …

unemployment depends positively on the drift coefficients and negatively on the volatility coefficients of both price and …

volatility and macroeconomic instability in the midst of the global recession …

economy. We show that a systematic central bank reaction on financial market developments dampens macroeconomic volatility …

assessments on different sub-periods and exchange rate volatility effect on pass-through are also provided. …

output volatility and frequent resets. These problems reduce the expectational advantage of PT over inflation targeting …