We investigate the relationship between uncertainty about monetary policy and its transmission mechanism, and economic fluctuations. We propose a new term structure model where the second moments of m
'The International Spillovers of US Monetary Policy Uncertainty: Is it a dilemma or trilemma for monetary policy?'Jingru Luo, Jingting Liu, Joseph Dennis Alba, Peiming Wang
The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy stance. When decomposing the VIX into two components, a proxy for risk aversion and ex