دانلود مقاله ISI انگلیسی شماره 101555
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
101555 2018 37 صفحه PDF سفارش دهید 11185 کلمه
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پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Volatility in equity markets and monetary policy rate uncertainty
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Empirical Finance, Volume 45, January 2018, Pages 68-83

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چکیده انگلیسی

Asset pricing models assume the risk-free rate to be a key factor for equity prices. Hence, there should be a strong link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses regression-based projections for realized variance to examine the relationship between short horizon forecasts of equity variance and proxies for monetary policy rate uncertainty. By assessing various projection models for UK, US and euro area equity indices, we show that the proxies for monetary policy rate uncertainty have a significant and positive predictive power for the equity return variance. Adding monetary policy rate uncertainty variables can significantly improve forecasting models for equity variance and volatility at weekly, monthly and even quarterly horizons. The findings imply that market views of short-term interest rate developments may indeed be embedded in equity prices and their variations.

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