Do Tightening Cycles Amplify the Negative Effect of VIX Shocks on U.S. Bank Stock Returns?
This study examines whether monetary tightening amplifies the negative effect of VIX shocks on U.S. bank stock returns. Using daily public data from January 2010 to March 2026, the analysis constructs a panel of returns for four exchange-traded funds: KBE, KRE, XLF and SPY. Large increases in the CBOE Volatility Index...