Unconventional Monetary Policy and Asset Price Risk

WP/13/190

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 risk" diminishes in the immediate aftermath of UMP... READ MORE...

Publication date: August 2013
ISBN 9781484383230
$18.00

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Publication date: August 2013

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Publication date: August 2013

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