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Financial Market Volatility, Monetary Policy and Economic Fluctuations

金融市场波动、货币政策与经济波动

基本信息

批准号：
21330077
负责人：
NABIL Maghrebi
金额：
$ 10.15万
依托单位：
Wakayama University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (B)
财政年份：
2009
资助国家：
日本
起止时间：
2009 至 2011
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-21330077/
关键词：
金融市場変動性 Model-free implied volatility index 金融政策経済変動ボラティリティ指標 International financial markets 金融市場市場ボラティリティ金融危機 Implied Volatility Index Volatility Expectations ボラティリティ Imlied Volatility Index Volatility Exectations 金融市場ボラテ

项目摘要

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.

本研究计划的重点是金融市场波动预期的形成，他们在货币政策会议周围的行为，以及市场波动与实体经济之间的相互依赖性。主要实证结果表明，无模型隐含波动率指数是衡量金融不稳定性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波动率指数的实用性也在《日经新闻》和《经济学人》的文章中得到了体现。除了波动性预期形成的非线性证据外，还表明政策公告可能通过消散会议前的过度波动对金融市场具有稳定作用。此外，对波动预期的冲击可能会通过消费者信心的恶化、投资环境指数的下降和利率期限结构的扁平化，传导到指示商业周期转折点的日本经济领先扩散指数中。总的来说，这些结果揭示了经济不确定性、金融市场波动和经济信息之间的复杂关系。