European Parliament Library

Unconventional Monetary Policy and Asset Price Risk, Shaun Roache, Marina Rousset

Abstract
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
Table Of Contents
Cover; Contents; I. Introduction; II. Unconventional Monetary Policy and Asset Prices; A. Defining Unconventional Monetary Policies; B. Recent Empirical Findings; III. Methodology; A. Theory of Risk Neutral Distributions; B. Estimation of Risk Neutral Distributions; C. Event Study Methodology; IV. Data; A. Financial Data; B. Monetary Policy Events; V. Results and Discussion; A. Results; B. Discussion; C. Case Study: Federal Reserve Announcement of the TALF Facility; VI. Conclusion; References; Appendix Tables; Table 1. Spot Delivery and Derivative Contract Specifications
Language
eng
Literary Form
non fiction
Note
Description based upon print version of record
Physical Description
1 online resource (27 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781475598001

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