The Response of Tail Risk Perceptions to Unconventional Monetary Policy
研究了非常规货币政策公告对股票市场尾部风险和极端利率变动风险的影响，发现前瞻指引而非资产购买是主要驱动因素，并揭示了货币政策的风险承担渠道。
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.