BIBFRAME Work

Title

Risk, uncertainty and monetary policy

Type

• Text
• Monograph

Contribution

• Bekaert, Geert (author)
• Lo Duca, Marco (contributor)
• Hoerova, Marie (contributor)
• National Bureau of Economic Research (contributor)

Language

• English

Classification

LCC: HB1 (Assigner: dlc) (Status: used by assigner)

Content

• text

Supplementary content

• bibliography

Summary

"We document a strong co-movement between the VIX, the stock market option-based implied volatility, and monetary policy. We decompose the VIX into two components, a proxy for risk aversion and expected stock market volatility ("uncertainty"), and analyze their dynamic interactions with monetary policy in a structural vector autoregressive framework. A lax monetary policy decreases risk aversion after about five months. Monetary authorities react to periods of high uncertainty by easing monetary policy. These results are robust to controlling for business cycle movements. We further investigate channels through which monetary policy may affect risk aversion, e.g., through its effects on broad liquidity measures and credit"--National Bureau of Economic Research web site.

Authorized Access Point

Bekaert, Geert. Risk, uncertainty and monetary policy

Admin Metadata

• Date: 2026-09-11T20:21:06.730980+00:00
• Agent: cbc
• Status: c
• Derived from: 16582034

Admin Metadata

• Date: 2026-09-11
• Cataloger id: Unknown
• Description level: http://id.loc.gov/ontologies/bibframe-2-6-0/
• Description language: eng
• Description authentication: pcc