Canadian research finds drop in uncertainty following policy changes
Changes to the Bank of Canada's monetary policy framework in response to the global financial crisis helped reduce uncertainty about the future path of interest rates, researchers at the central bank have found.
The working paper, Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility by Bo Young Chang and Bruno Feunou, measures interest rate uncertainty using implied volatility based on interest rate option prices and realised volatility derived from intra-day
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