Risk, uncertainty and monetary policy

Journal of Monetary Economics

Volumn 60, Issue 7, 2013, Pages 771-788

  Bekaert, Geert ^a   Hoerova, Marie ^b   Lo Duca, Marco ^b  

^a The Sanford C Bernstein Co Center for Leadership and Ethics   (United States)

^b EUROPEAN CENTRAL BANK   (Germany)

Author keywords

Business cycle; Monetary policy; Option implied volatility; Risk aversion; Uncertainty

Indexed keywords

EID: 84886398751     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jmoneco.2013.06.003     Document Type: Article

References (61)

1. Adalid, R., Detken, C., 2007. Liquidity shocks and asset price boom/bust cycles. ECB Working Paper no. 732.
2. Adrian, T., Shin, H.S., 2008. Liquidity, monetary policy, and financial cycles. Current Issues in Economics and Finance, Federal Reserve Bank of New York 14(1).
3. Alessi L., Detken C. Quasi real-time early warning indicators for costly asset price boom/bust cycles: a role for global liquidity. European Journal of Political Economy 2011, 27(3):520-533.
4. Altunbas, Y., Gambacorta, L., Marquéz-Ibañez, D., 2010. Does monetary policy affect bank risk-taking? ECB Working Paper no. 1166.
5. Andrews D.W.K. Tests for parameter instability and structural change with unknown change point. Econometrica 1993, 61(4):821-856.
6. Andrews D.W.K. End-of-sample instability tests. Econometrica 2003, 71(6):1661-1694.
7. Baker M., Wurgler J. Investor sentiment in the stock market. Journal of Economic Perspectives 2007, 21:129-151.
8. Bakshi G., Madan D. Spanning and derivative-security valuation. Journal of Financial Economics 2000, 55(2):205-238.
9. Bakshi G., Kapadia N., Madan D. Stock return characteristics, skew laws, and differential pricing of individual equity options. Review of Financial Studies 2003, 16(1):101-143.
10. Bekaert G., Cho S., Moreno A. New Keynesian macroeconomics and the term structure. Journal of Money, Credit and Banking 2010, 42(1):33-62.
11. Bekaert, G., Engstrom, E., 2013. Asset return dynamics under habits and bad environment-good environment fundamentals. Working Paper, Columbia GSB.
12. Bekaert G., Engstrom E., Xing Y. Risk, uncertainty, and asset prices. Journal of Financial Economics 2009, 91:59-82.
13. Bekaert, G., Hoerova, M., 2013. The VIX, the variance premium and stock market volatility. NBER Working Paper no. 18995, National Bureau of Economic Research.
14. Bernanke, B., 2002. Asset-price 'bubbles' and monetary policy. Speech before the New York chapter of the National Association for Business Economics, New York, New York, October 15.
15. Bernanke B., Gertler M. Should central banks respond to movements in asset prices?. American Economic Review 2001, 91:253-257.
16. Bernanke B., Kuttner K.N. What explains the stock market's reaction to federal reserve policy?. Journal of Finance 2005, 60(3):1221-1257.
17. Bernanke B., Mihov I. Measuring monetary policy. Quarterly Journal of Economics 1998, 113(3):869-902.
18. Bernanke, B., Mihov, I., 1998b. The liquidity effect and long-run neutrality. Carnegie-Rochester Conference Series on Public Policy, vol. 49, no. 1, pp. 149-194.
19. Blanchard O., Quah D. The dynamic effects of aggregate demand and supply disturbances. American Economic Review 1989, 79(4):655-673.
20. Bloom N. The impact of uncertainty shocks. Econometrica 2009, 77(3):623-685.
21. Bloom, N., Floetotto, M., Jaimovich, N., 2009. Real uncertain business cycles. Working Paper, Stanford University.
22. Bollerslev T., Tauchen G., Zhou H. Expected stock returns and variance risk premia. Review of Financial Studies 2009, 22(11):4463-4492.
23. Borio, C., Lowe, P., 2002. Asset prices, financial and monetary stability: Exploring the nexus. BIS Working Paper no. 114.
24. Borio, C., Zhu, H., 2008. Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? BIS Working Paper no. 268.
25. Breeden D., Litzenberger R. Prices of state-contingent claims implicit in option prices. Journal of Business 1978, 51(4):621-651.
26. Britten-Jones M., Neuberger A. Option prices, implied price processes, and stochastic volatility. Journal of Finance 2000, 55:839-866.
27. Campbell J.Y, Cochrane J. By force of habit: a consumption based explanation of aggregate stock market behavior. Journal of Political Economy 1999, 107(2):205-251.
28. Carr P., Wu L. Variance risk premiums. Review of Financial Studies 2009, 22(3):1311-1341.
29. Chicago Board Options Exchange, 2004. VIX CBOE Volatility Index. White Paper.
30. Christiano L.J., Eichenbaum M., Evans C.L. The effects of monetary policy shocks: evidence from the flow of funds. The Review of Economics and Statistics 1996, 78(1):16-34.
31. Christiano L.J., Eichenbaum M., Evans C.L. Monetary policy shocks: what have we learned and to what end?. Handbook of Macroeconomics 1999, vol. 1A:65-148. Elsevier, 〈http://www.sciencedirect.com/science/article/pii/S1574004899010058〉.
32. Coudert V., Gex M. Does risk aversion drive financial crises? Testing the predictive power of empirical indicators. Journal of Empirical Finance 2008, 15:167-184.
33. D'Amico S., Farka M. The Fed and the stock market: an identification based on intraday futures data. Journal of Business and Economic Statistics 2011, 29(1):126-137.
34. Drechsler, I., Uncertainty, time-varying fear, and asset prices. Journal of Finance. http://dx.doi.org/10.1111/jofi.12068.
35. Drechsler I., Yaron A. What's vol got to do with it. Review of Financial Studies 2011, 24(1):1-45.
36. Ehrmann, M., Fratzscher, M., 2004. Exchange rates and fundamentals: New evidence from real-time data. ECB Working Paper no. 365.
37. Faust J., Swanson E., Wright J. Identifying VARs based on high frequency futures data. Journal of Monetary Economics 2004, 51(6):1107-1131.
38. Gilchrist S., Leahy J.V. Monetary policy and asset prices. Journal of Monetary Economics 2002, 49(1):75-97.
39. Gilchrist S., Zakrajšek E. Credit spreads and business cycle fluctuations. American Economic Review 2012, 102(4):1692-1720.
40. Greenspan, A., 2002. Economic Volatility. Speech before a Symposium Sponsored by the Federal Reserve Bank of Kansas City, Jackson Hole, Wyoming, August 30.
41. Gürkaynak R.S., Sack B., Swanson E. Do actions speak louder than words? The response of asset prices to monetary policy actions and statements. International Journal of Central Banking 2005, 1(1):55-92.
42. Ioannidou, V.P., Ongena, S., Peydró, J.-L., 2009. Monetary policy, risk-taking and pricing: Evidence from a quasi natural experiment. European Banking Center Discussion Paper no. 2009-04S.
43. Jiménez, G., Ongena, S., Peydró, J.-L., Saurina, J., Hazardous times for monetary policy: what do twenty-three million bank loans say about the impact of monetary policy on credit risk-taking? Econometrica, in press.
44. King, R., Watson, M.W., 1992. Testing long run neutrality. NBER Working Papers no. 4156, National Bureau of Economic Research.
45. Kuttner K.N. Monetary policy surprises and interest rates: evidence from the Fed funds futures market. Journal of Monetary Economics 2001, 47(3):523-544.
46. Maddaloni A., Peydró J.-L. Bank risk-taking, securitization, supervision, and low interest rates: evidence from the Euro area and U.S. lending standards. Review of Financial Studies 2011, 24(6):2121-2165.
47. Newey W., West K. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 1987, 55(3):703-708.
48. Popescu A., Smets F. Uncertainty, risk-taking and the business cycle in Germany. CESifo Economic Studies 2009, 56(4):596-626.
49. Rajan R. Has finance made the world riskier?. European Financial Management 2006, 12(4):499-533.
50. Rigobon R., Sack B. Measuring the reaction of monetary policy to the stock market. Quarterly Journal of Economics 2003, 118(2):639-669.
51. Rigobon R., Sack B. The impact of monetary policy on asset prices. Journal of Monetary Economics 2004, 51(8):1553-1575.
52. Rubio-Ramírez J.F., Waggoner D.F., Zha T. Structural vector autoregressions: theory of identification and algorithms for inference. Review of Economic Studies 2010, 77(2):665-696.
53. Rudebusch G.D. The Fed's Monetary policy response to the current crisis 2009, The Federal Reserve Bank of San Francisco Economic Letter, 2009-2017. 〈http://www.frbsf.org/economic-research/files/el2009-17.pdf〉.
54. Rudebusch G.D., Wu T. A macro-finance model of the term structure, monetary policy and the economy. Economic Journal 2008, 118(530):906-926.
55. Sims C.A. Macroeconomics and reality. Econometrica 1980, 48(1):1-48.
56. Sims C.A. Comment on Glenn Rudebusch's "Do measures of monetary policy in a VAR make sense.". International Economic Review 1998, 39(4):933-941.
57. Sims C.A., Zha T. Error bands for impulse responses. Econometrica 1999, 67(5):1113-1155.
58. Taylor, J. B., 1993. Discretion versus policy rules in practice. Carnegie-Rochester Conference Series on Public Policy, vol. 39, pp. 195-214.
59. Thorbecke W. On stock market returns and monetary policy. Journal of Finance 1997, 52(2):635-654.
60. Whaley R.E. The investor fear gauge. Journal of Portfolio Management, Spring 2000, 12-17.
61. Wright J.H. What does monetary policy do to long-term interest rates at the zero lower bound?. Economic Journal 2012, 122(564):F447-F466.