Bekaert, Geert; Hoerova, Marie; Lo Duca, Marco - C.E.P.R. Discussion Papers - 2010
We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy …"), and analyze their dynamic interactions with monetary policy in a structural vector autoregressive framework. A lax … monetary policy decreases risk aversion after about five months. Monetary authorities react to periods of high uncertainty by …