Bekaert, Geert; Hoerova, Marie; Duca, Marco Lo - Nationale Bank van België/Banque national de Belqique (BNB) - 2012
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … (“uncertainty”), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being … a variety of identification schemes for the vector autoregression in general and monetary policy shocks in particular. …