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Does central bank independence affect stock market volatility?
- Source :
- Research in International Business and Finance. 42:855-864
- Publication Year :
- 2017
- Publisher :
- Elsevier BV, 2017.
-
Abstract
- This paper addresses the issue of impacts of central banks’ independence on stock market volatility. Using a simple theoretical macroeconomic model, we analytically find a positive link between stock prices volatility and central bank independence. By applying panel data analysis on a set of 29 countries from 1998 to 2005, sufficient evidence for this positive relationship is provided using two different measures of stock market volatility.
- Subjects :
- 050208 finance
Primary market
Financial economics
05 social sciences
Stock market bubble
Monetary economics
Implied volatility
Volatility risk premium
Stock exchange
Volatility swap
0502 economics and business
Forward volatility
Economics
Volatility smile
Business, Management and Accounting (miscellaneous)
050207 economics
Finance
Subjects
Details
- ISSN :
- 02755319
- Volume :
- 42
- Database :
- OpenAIRE
- Journal :
- Research in International Business and Finance
- Accession number :
- edsair.doi...........f6374a288a3439fbc27d71472c997f3e