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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Bibliografske podrobnosti
Glavni avtor: Roache, Shaun
Drugi avtorji: Rousset, Marina
Format: Revija
Jezik:English
Izdano: Washington, D.C. : International Monetary Fund, 2013.
Serija:IMF Working Papers; Working Paper ; No. 2013/190
Online dostop:Full text available on IMF

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