Unconventional Monetary Policy and Asset Price Risk /

We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that 'tail ris...

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Autor principal: Roache, Shaun
Altres autors: Rousset, Marina
Format: Revista
Idioma:English
Publicat: Washington, D.C. : International Monetary Fund, 2013.
Col·lecció:IMF Working Papers; Working Paper ; No. 2013/190
Accés en línia:Full text available on IMF
Descripció
Sumari:We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that 'tail risk' diminishes in the immediate aftermath of UMP events, particularly downside left tail risk. We also find that QE1 and QE3 had stronger effects than QE2. We conclude that UMP events that serve to ease policies can help to bolster market confidence in times of high uncertainty.
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Descripció física:1 online resource (26 pages)
Format:Mode of access: Internet
ISSN:1018-5941
Accés:Electronic access restricted to authorized BRAC University faculty, staff and students