IDEAS home Printed from https://ideas.repec.org/a/bca/bcarev/v2014y2014ispring14p32-41.html
   My bibliography  Save this article

Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility

Author

Listed:

Abstract

Uncertainty surrounding the Bank of Canada’s future policy rates is measured using implied volatility computed from interest rate options and realized volatility computed from intraday prices of interest rate futures. Both volatility measures show that uncertainty decreased following major policy actions taken by the Bank in response to the 2007–09 financial crisis. Findings also indicate that, on average, uncertainty decreases following the Bank’s policy rate announcements.

Suggested Citation

  • Bo Young Chang & Bruno Feunou, 2014. "Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility," Bank of Canada Review, Bank of Canada, vol. 2014(Spring), pages 32-41.
    • Handle: RePEc:bca:bcarev:v:2014:y:2014:i:spring14:p:32-41
    as

    Download full text from publisher

    File URL: https://www.bankofcanada.ca/wp-content/uploads/2014/05/boc-review-spring14-chang.pdf
    File Function: full text
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kaminska, Iryna & Roberts-Sklar, Matt, 2018. "Volatility in equity markets and monetary policy rate uncertainty," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 68-83.
    2. Gabriel Arce‐Alfaro & Boris Blagov, 2023. "Monetary Policy Uncertainty and Inflation Expectations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(1), pages 70-94, February.
    3. Lakdawala, Aeimit, 2021. "The growing impact of US monetary policy on emerging financial markets: Evidence from India," Journal of International Money and Finance, Elsevier, vol. 119(C).
    4. Rainone, Edoardo, 2020. "The network nature of over-the-counter interest rates," Journal of Financial Markets, Elsevier, vol. 47(C).
    5. Nikolay Gospodinov & Ibrahim Jamali, 2018. "Monetary policy uncertainty, positions of traders and changes in commodity futures prices," European Financial Management, European Financial Management Association, vol. 24(2), pages 239-260, March.
    6. Arce-Alfaro, Gabriel & Blagov, Boris, 2021. "Monetary policy uncertainty and inflation expectations," Ruhr Economic Papers 899, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    7. Kurov, Alexander & Stan, Raluca, 2018. "Monetary policy uncertainty and the market reaction to macroeconomic news," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 127-142.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bca:bcarev:v:2014:y:2014:i:spring14:p:32-41. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bocgvca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.