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Unconventional monetary policy announcements and risk aversion: evidence from the U.S. and European equity markets
16 references·2 citing·45 second hop
Unconventional monetary policy announcements and risk aversion: evidence from the U.S. and European equity markets (2018)Unconventional monetary policy announceme…The VIX, the variance premium and stock market volatility (2014)The VIX, the variance premium…Risk, uncertainty and monetary policy (2013)Risk, uncertainty and monetar…International Journal of Central Banking (2012)International Journal of Cent…Collective Moral Hazard, Maturity Mismatch, and Systemic Bailouts (2012)Collective Moral Hazard, Matu…The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy (2011)The Effects of Quantitative E…Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism? (2011)Capital regulation, risk-taki…Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Variance Risk Premiums (2008)Variance Risk PremiumsLiquidity and leverage (2008)Liquidity and leverageHas Finance Made the World Riskier? (2006)Has Finance Made the World Ri…Financial development and dynamic investment behavior: Evidence from panel VAR (2006)Financial development and dyn…What Explains the Stock Market's Reaction to Federal Reserve Policy? (2005)What Explains the Stock Marke…Empirical pricing kernels (2002)Empirical pricing kernelsThe Investor Fear Gauge (2000)The Investor Fear GaugeWhat To Do (and Not to Do) with Time-Series Cross-Section Data (1995)What To Do (and Not to Do) wi…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure (2023)Effects of the first wave of …Macroeconomic effects and transmission channels of quantitative easing (2022)Macroeconomic effects and tra…Financing Constraints and Corporate Investment (1987)Financing Constraints and Corporate Investment (1988)Another look at the instrumental variable estimation of error-components models (1995)Estimation of Panel Vector Autoregression in Stata (2016)Economic growth, CO2 emissions and energy consumption: What causes what and where? (2018)Impact of renewable energy consumption and financial development on CO2 emissions and economic growth in the MENA region: A panel vector autoregressive (PVAR) analysis (2019)Statistical Inference in Dynamic Economic Models (1950)Analysis of Panel Data (2003)Veto Players. How Political Institutions Work (2003)Modernization, cultural change, and democracy the human development sequence (2005)Robust Standard Errors for Panel Regressions with Cross-Sectional Dependence (2007)The Cross-Section of Expected Stock Returns (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Bond Risk Premia (2005)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)How Sovereign Is Sovereign Credit Risk? (2011)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)On Persistence in Mutual Fund Performance (1997)Tails, Fears, and Risk Premia (2011)Momentum crashes (2016)The Limits of Arbitrage (1995)The Cross‐Section of Volatility and Expected Returns (2006)Market Liquidity and Funding Liquidity (2008)Credit Spreads and Business Cycle Fluctuations (2012)Value and Momentum Everywhere (2013)CoVaR (2016)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Corporate financing and investment decisions when firms have information that investors do not have (1984)Capital Flows and the Risk-Taking Channel of Monetary Policy (2013)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence (2015)Macroeconomics and Reality (1980)Discretion versus policy rules in practice (1993)The Impact of Uncertainty Shocks (2009)Economic policy uncertainty: A literature review (2019)U.S. Monetary Policy and the Global Financial Cycle (2020)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)Uncertainty about Government Policy and Stock Prices (2012)Real-Time Measurement of Business Conditions (2009)Why do humans reason? Arguments for an argumentative theory (2011)Fiscal Stimulus in a Monetary Union: Evidence from US Regions (2014)
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References

  • 1995What To Do (and Not to Do) with Time-Series Cross-Section Data6,833 cited
  • 2008Liquidity and leverage2,557 cited
  • 2005What Explains the Stock Market's Reaction to Federal Reserve Policy?2,382 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 2011Capital regulation, risk-taking and monetary policy: A missing link in the transmission mechanism?1,799 cited
  • 2006Financial development and dynamic investment behavior: Evidence from panel VAR1,790 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2008Variance Risk Premiums1,328 cited
  • 2012International Journal of Central Banking1,258 cited
  • 2013Risk, uncertainty and monetary policy1,237 cited
  • 2011The Effects of Quantitative Easing on Interest Rates: Channels and Implications for Policy1,198 cited
  • 2012Collective Moral Hazard, Maturity Mismatch, and Systemic Bailouts1,121 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 2006Has Finance Made the World Riskier?919 cited
  • 2014The VIX, the variance premium and stock market volatility812 cited
  • 2002

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Empirical pricing kernels
687 cited

Cited by

  • 2023Effects of the first wave of COVID-19 pandemic on implied stock market volatility: International evidence using a google trend measure27 cited
  • 2022Macroeconomic effects and transmission channels of quantitative easing14 cited