The Response of Tail Risk Perceptions to Unconventional Monetary Policy

• 成果类型: Article
• 署名作者: Hattori, Masazumi; Schrimpf, Andreas; Sushko, Vladyslav
• 署名单位: Hitotsubashi University; Bank for International Settlements (BIS)
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20140016
• 发表日期: 2016
• 页码: 111-136
• 关键词: term interest-rates; purchases; STOCK; MARKETS; COSTS; bond

摘要

We examine the impact of unconventional monetary policy (UMP) on stock market tail risk and risks of extreme interest rate movements. We find that UMP announcements substantially reduced option-implied equity market tail risks and interest rate risks. Most of the impact derives from forward guidance rather than asset purchase announcements. Communication about the future path of policy rates reduced volatility expectations of long-term rates and the associated risk premia. The reaction of equity market tail risk, in turn, points to the risk-taking channel of monetary policy, as the commitment to low funding rates may have relaxed financial intermediaries' risk-bearing constraints.