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Does Monetary Policy Affect Stock Market Uncertainty? Empirical Evidence from the United States
| Content Provider | Semantic Scholar |
|---|---|
| Author | Jovanović, Mario |
| Copyright Year | 2011 |
| Abstract | This paper investigates the response of US stock market uncertainty to monetary policy of the Federal Reserve Bank. It can be shown that monetary policy significantly Granger-causes stock market confidence. By using monthly closing prices of the V IX as a stock market uncertainty proxy and a copula-based Markov approach the stable nonlinear relation between confidence and uncertainty is demonstrated. The monetary policy effect on stock market uncertainty is therefore separable into a linear and nonlinear part. |
| File Format | PDF HTM / HTML |
| DOI | 10.2139/ssrn.1753676 |
| Alternate Webpage(s) | https://www.econstor.eu/bitstream/10419/45324/1/655983791.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |