Metrics
800 File views/ downloads
104 Record Views
Journal article
Comparing U.S. and European market volatility responses to interest rate policy announcements
International review of financial analysis, Vol.39, pp.127-136
39
2015
Web of Science ID: WOS:000353386600012
Abstract
We examine the response of U.S. (VIX) and German (VDAX) implied volatility indices to the announcement of interest rate policy decisions by the Federal Open Market Committee (FOMC) and the European Central Bank (ECB). We present new findings that indicate that VDAX declines on FOMC meeting days, a result that holds for nearly all announcement types. VDAX declines on ECB meeting days in which there is a negative rate surprise or no surprise and is unrelated to ECB meeting days otherwise. VIX is unrelated to ECB meeting days. We confirm prior findings that VIX declines on FOMC meetings days regardless of the content of the meeting. Taken collectively, our results indicate a prominent position for the FOMC in determining uncertainty levels both domestically and abroad relative to a conditional domestic relation between uncertainty levels and the ECB.
Details
- Title
- Comparing U.S. and European market volatility responses to interest rate policy announcements
- Publication Details
- International review of financial analysis, Vol.39, pp.127-136
- Resource Type
- Journal article
- Publisher
- Elsevier BV; Netherlands
- Series
- 39
- Copyright
- © 2015 Elsevier Inc. All rights reserved.
- Identifiers
- WOS:000353386600012; 99380090641006600
- Academic Unit
- Accounting and Finance; Lewis Bear Jr. College of Business
- Language
- English