Risk Appetite and the Risk-Taking Channel of Monetary Policy
研究了美联储意外货币政策变化对股票、债券、信贷和外汇市场风险指标的影响，构建了风险偏好指数，发现宽松政策会显著提升风险偏好，反之亦然，揭示了货币政策通过风险承担渠道影响资产价格的机制。
Monetary policy affects financial markets and the broader economy in part by changing the risk appetite of investors. This article provides new evidence for this so-called risk-taking channel of monetary policy by revisiting and extending event-study analysis of Federal Open Market Committee announcements. We document significant effects of unexpected monetary policy changes on risk indicators drawn from equity, fixed-income, credit, and foreign exchange markets. We develop a new index of risk appetite based on the common component of these indicators. Surprise monetary easing leads to strong and persistent increases in our index, and vice versa for tightening surprises, consistent with the view that monetary policy affects asset prices in large part through its effects on risk appetite. We discuss the implications of the risk-taking channel for monetary policy transmission, optimal monetary policy, and financial stability.