Does Monetary Policy Aff ect Stock Market Uncertainty ?
نویسندگان
چکیده
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 signifi cantly Granger-causes stock market confi dence. 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 confi dence and uncertainty is demonstrated. The monetary policy eff ect on stock market uncertainty is therefore separable into a linear and nonlinear part. JEL Classifi cation: C12, C22, E43, E52
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تاریخ انتشار 2011