Risk, uncertainty and monetary policy

• 成果类型: Article
• 署名作者: Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco
• 署名单位: Columbia University; National Bureau of Economic Research; European Central Bank
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2013.06.003
• 发表日期: 2013
• 页码: 771-788
• 关键词: Monetary policy; Option implied volatility; risk aversion; uncertainty; business cycle

摘要

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 (uncertainty), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being stronger. The result holds in a structural vector autoregressive framework, controlling for business cycle movements and using a variety of identification schemes for the vector autoregression in general and monetary policy shocks in particular. The effect of monetary policy on risk aversion is also apparent in regressions using high frequency data. (C) 2013 Elsevier B.V. All rights reserved.