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Bank of Canada RSS Feedsen2024-03-28T15:48:06+00:00Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility
https://www.bankofcanada.ca/2013/10/working-paper-2013-37/
We measure uncertainty surrounding the central bank’s future policy rates using implied volatility computed from interest rate option prices and realized volatility computed from intraday prices of interest rate futures.2013-10-25T09:52:50+00:00enMeasuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility2013-10-25Monetary and financial indicatorsMonetary policy and uncertaintyWorking Paper 2013-37https://www.bankofcanada.ca/wp-content/uploads/2013/10/wp2013-37.pdfMeasuring Uncertainty in Monetary Policy Using Implied Volatility and Realized VolatilityBo Young ChangBruno FeunouOctober 2013EE4