Replication data for: The Response of Tail Risk Perceptions to Unconventional Monetary Policy

Principal Investigator(s): View help for Principal Investigator(s) Masazumi Hattori; Andreas Schrimpf; Vladyslav Sushko

Version: View help for Version V1

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Project Citation:

Hattori, Masazumi, Schrimpf, Andreas, and Sushko, Vladyslav. Replication data for: The Response of Tail Risk Perceptions to Unconventional Monetary Policy. Nashville, TN: American Economic Association [publisher], 2016. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114085V1

Project Description

Summary: 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' riskbearing constraints. (JEL E52, E58, G12, G13, G14)

Scope of Project

JEL Classification:
      E52 Monetary Policy
      E58 Central Banks and Their Policies
      G12 Asset Pricing; Trading Volume; Bond Interest Rates
      G13 Contingent Pricing; Futures Pricing; option pricing
      G14 Information and Market Efficiency; Event Studies; Insider Trading

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V1 [2019-10-12]

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