In this paper we study how volatility in monetary policy affects economic performance in the presence of endogenously … would be efficient. The equilibria that we find, with volatility and asymmetry of information, are inefficient for two …

In this paper we study how volatility in monetary policy affects economic performance in the presence of endogenously … would be efficient. The equilibria that we find, with volatility and asymmetry of information, are inefficient for two …

-ask spreads and depth), returns, volatility, and order flow in the stock and bond markets. We find that a shock to quoted spreads … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …. Innovations to stock and bond market liquidity and volatility prove to be significantly correlated, suggesting that common factors …

We investigate the impact of monetary policy announcements on stock market volatility in the U.S., Canada, Japan, the U … easing announcements of domestic and foreign central banks on realized volatility before, during, and after the event. We … find that on the day of an interest rate announcement of the domestic central bank, volatility increases in a manner that …

This paper investigates the return and volatility responses of major European and the US equity indices to monetary …