What is the effect of macroeconomic news on the VIX?

Abstract

This study investigates the impact of different macroeconomic variables on the VIX index. It introduces the index itself, and the global events which have affected it severely. The investigating model builds on empirical observations and expands, firstly to see if an already existing model is significant in other periods of time, and secondly what other variables might have strong explanatory power. The results reveal that the market regard the actions from the Federal Open Market Committee as very important for its outlook on the economy.