Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - European Central Bank - 2013
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 …