The paper investigates the effect of monetary policy uncertainty on stock return volatility. Contrary to the widely accepted wisdom that higher uncertainty leads to higher volatility, we find that monetary policy uncertainty negatively predicts stock return volatility both in and out of sample...

The paper analyzes the effect of monetary policy uncertainty on cryptocurrency volatility. We find that monetary policy uncertainty is an important driver of cryptocurrency volatility. However, contrary to the conventional wisdom that high uncertainty will lead to high volatility of financial...