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dc.contributor.advisorJensen, Gerald R.en_US
dc.contributor.authorGaldamez, Rodrigoen_US
dc.date.accessioned2016-09-20T16:51:49Z
dc.date.available2016-09-20T16:51:49Z
dc.date.issued2008
dc.identifier.urihttp://commons.lib.niu.edu/handle/10843/16631
dc.description.abstractThe relationship between the Federal Reserve monetary policy and the CBOE volatility index, VIX, is examined. Volatility plays a crucial role in pricing derivatives; therefore, an understanding of how macroeconomic factors affect asset prices and volatility is important to market participants. Daily trading data is examined from January 2nd, 1990 to February 29th, 2008. A significant relationship is identified between measures of monetary policy and the VIX, which suggests that the volatility implicit in derivatives is influenced by monetary policy. In particular, volatility is shown to be significantly higher (lower) when the Federal Reserve is following an expansive (restrictive) monetary policy.en_US
dc.format.extent9 unnumbered pagesen_US
dc.language.isoen_USen_US
dc.publisherNorthern Illinois Universityen_US
dc.rightsNIU theses are protected by copyright. They may be viewed from Huskie Commons for any purpose, but reproduction or distribution in any format is prohibited without the written permission of the authors.en_US
dc.subjectfinanceen_US
dc.subjectmonetary policyen_US
dc.subjectVIXen_US
dc.titleMonetary Policy and the VIXen_US
dc.type.genreDissertation/Thesisen_US
dc.typeTexten_US
dc.contributor.departmentDepartment of Financeen_US
dc.description.degreeB.S. (Bachelor of Science)en_US


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