The DOI matches its Crossref record; 4 of the 4 references it cites were found in a registry or an index.
Risk, uncertainty and monetary policy
Abstract
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.
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Citations
Cites
Discretion versus policy rules in practice
Taylor, J. B. (1993) · Carnegie-Rochester Conference Series on Public Policy · doi:10.1016/0167-2231(93)90009-l · Cited by 9,065
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
Campbell, J. Y., & Cochrane, J. H. (1999) · Journal of Political Economy · doi:10.1086/250059 · Cited by 5,210
Tests for parameter instability and structural change with unknown change point.
Andrews, D. W. K. (1993) · Econometrica · doi:10.2307/2951764 · Cited by 4,334
Inside the black box: the credit channel of monetary policy transmission
Bernanke, B. S., & Gertler, M. (1995) · Journal of Economic Perspectives · doi:10.1257/jep.9.4.27 · Cited by 4,211
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International Channels of Transmission of Monetary Policy and the Mundellian Trilemma
Rey, H. (2016) · IMF Economic Review · doi:10.1057/imfer.2016.4 · Cited by 478
Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises
Scotti, C. (2016) · Journal of Monetary Economics · doi:10.1016/j.jmoneco.2016.06.002 · Cited by 339
Monetary stimulus and bank lending
Chakraborty, I., Goldstein, I., & MacKinlay, A. (2020) · Journal of Financial Economics · doi:10.1016/j.jfineco.2019.09.007 · Cited by 259
Monetary policy shocks and Bitcoin prices
Ma, C., Tian, Y., Hsiao, S., & Deng, L. (2022) · Research in International Business and Finance · doi:10.1016/j.ribaf.2022.101711 · Cited by 34
Does U.S. monetary policy sway global crypto investment demand?
Hodula, M. (2025) · Finance Research Letters · doi:10.1016/j.frl.2025.107408 · Cited by 7
Metadata
- Authors
- Bekaert, G., Hoerova, M., & Lo Duca, M.
- Venue
- Journal of Monetary Economics
- Publisher
- Elsevier BV
- Published
- 2013-10
- Volume
- 60
- Issue
- 7
- Pages
- 771-788
- ISSN
- 0304-3932 (ISSN-L)
- OpenAlex
- W3123780646
- Cited by
- 1,235
- References
- 4
- FWCI
- 165.25
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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