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 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
经济政策不确定性指数(EPU)是一个量化衡量各国经济政策不确定性水平的数据库。该指数由斯坦福大学和芝加哥大学的Scott R. Baker、Nicholas Bloom和Steven J. Davis三位学者编制,基于新闻文本分析方法构建。数据库收录了全球多个国家和地区的经济政策不确定性指数,涵盖从1985年至今的月度数据,用于研究政策不确定性对宏观经济和金融市场的影响。