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 …

individual stochastic discount factors. We prove that equity price volatility becomes arbitrarily large as the volatility of … aggregate output volatility falls. We propose a two-step spectral factorization method that permits closed-form solutions in the …

In this paper, we investigate the dynamic relationship between financial market volatility, macroeconomic fundamentals … and investor sentiment, employing a two-factor model to decompose volatility into a persistent long-run component and a … aggregate demand and supply cause an increase in the persistent component of both stock and bond market volatility, and that …

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 …

whether interest rate and stock market volatility play an additional role as recession indicators. Both risk-return analysis … and stock return volatility do not contribute systematically to the forecasting of recessions in the US using the NBER … definition, but do so, to some extent, when using the OECD dating. In Germany and Japan, using a variety of volatility indicators …

the Great Moderation. While the volatility of financial price variables also follows such pattern, financial quantity … variables have experienced a continuous immoderation. We examine these patterns in volatility by estimating a DSGE model with …

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 …

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 …

frictions create volatility: they add an additional, almost acyclical, entry cost to procyclical job creation costs, thus … volatility puzzle …