Tail Risk Around FOMC Announcements
研究了在美联储FOMC会议公告前后，期权隐含的尾部风险如何预测市场回报，发现偏度和峰度能稳健预测公告后的回报，且预测力持续一周，对扩张性货币政策冲击更强。
Abstract Predictive regressions of market returns on option-implied moments measured before pre-scheduled FOMC meetings show that tail risks play an important role in understanding the market risk premium around FOMC announcement days. Skewness and kurtosis, which capture investors’ expectations of the tails of the return distribution, robustly predict post-FOMC returns both in-sample and out-of-sample. The predictability lasts up to 1 week and is stronger for expansionary monetary policy shocks. The signs of the corresponding risk premiums are consistent with economic intuition, illustrating the role of periods with high risk premiums to confirm theoretical predictions.