transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility …We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy … and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

transmits to hedging costs both by changing the relevant state variables, such as the value of the underlying, its volatility …We analyze the transmission of monetary policy to the costs of hedging using options order book data. Monetary policy … and tail risk, and by affecting option market liquidity, including the bid-ask spread and market depth. Our estimates …

equity market returns and volatility over the period 1998–2006. First, both types of news have a significant impact on market … reports lowers price volatility. Finally, American emerging markets react more to U.S. news than non-American markets …

this study, it is aimed to examine the effect of the ROM on USD/TL exchange rate volatility. Design … volatility are analyzed by applying GARCH (1,1) model and using the data for the period 09.30.2011- 06.03.2016. Findings – It is … found that the ROM significantly decreases the exchange rate volatility, which indicates the effectiveness of the ROM. The …

unconventional monetary policy to volatility spillovers and potential global systemic risk …We identify networks of volatility spillovers and examine time-varying spillover intensities with daily implied … volatility spillover network and its volatility spillover to other markets has intensified since 2008. Moreover, US quantitative …

This paper investigates the impact of monetary policy surprises by the FED or Bundesbank/ECB on the return volatility … of German stocks and bonds using a GARCH-M model. We show that stock return volatility is susceptible to monetary policy … surprises in the United States, whereas monetary policy surprises in the Euro zone matter for bond return volatility. These …

overnight interest rate derivative market which is used by market participants to bet on future monetary decisions …