پاسخ نوسانات بازار سهام به اقدامات مبتنی بر آینده شوک های سیاست های پولی

In this paper, we investigate the dynamic response of stock market volatility to changes in monetary policy. Using a vector autoregressive model, our findings reveal a significant response of stock returns and volatility to monetary policy shocks. While the increase in the volatility risk premium, futures-trading volume and leverage appear to contribute to a short-term increase in volatility, the longer-term dynamics of volatility are dominated by monetary policy’s effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not respond to the stock market at a high frequency but that market participants’ uncertainty regarding the monetary stance affects stock market volatility.