Financial Market Volatility, Monetary Policy and Economic Fluctuations

这项研究的重点是金融市场波动预期的形成，他们在货币政策会议上的行为，以及市场波动和实体经济之间的相互依存关系。主要的实证结果表明，无模型隐含波动率指数是衡量金融不稳定和经济不确定性的重要指标。大阪大学金融保险研究中心发布的CSFI-VXJ波动率指数的有用性也从日经报纸和经济学人杂志的文章中的引用中得到反映。除了关于波动预期形成过程中的非线性的证据外，研究还表明，政策公告可能通过消散会议前的过度波动而对金融市场产生稳定作用。此外，波动预期的冲击可能会通过消费者信心恶化、投资景气指数下降和利率期限结构趋平，传导到日本经济的领先扩散指数，该指数表明商业周期的转折点。总体而言，这些结果揭示了经济不确定性、金融市场波动性和经济信息之间的复杂关系。

This research program focuses on the formation of volatility expectations in financial markets, their behaviour around monetary policy meetings, and the interdependencies between market volatility and the real economy. The main empirical results indicate that the model-free implied volatility index constitutes an important measure of financial instability and economic uncertainty. The usefulness of CSFI-VXJ volatility index disseminated by the Center for the Study of Finance and Insurance, Osaka University is also reflected by references in articles from The Nikkei newspaper and The Economist magazine. In addition to evidence on nonlinearities in the formation of volatility expectations, it is shown that policy announcements may have stabilizing effects on financial markets by dissipating pre-meeting excessive volatility. Also, shocks to volatility expectations may be transmitted into the leading diffusion index of the Japanese economy, which is indicative of turning points in the business cycle, through a deterioration of consumer confidence, decrease in the investment climate index and flattening of the term structure of interest rates. On aggregate, these results shed some light on the complex relations between economic uncertainty, financial market volatility, and economic information.