Revisiting and Extending Our Understanding of Market Responses to Unconventional Monetary Policy
本文量化评估了2008年金融危机期间美联储扩张性非常规货币政策公告对市场风险厌恶的缓解作用，发现量化宽松比前瞻指引影响更大。
ABSTRACT We revisit and extend Hattori et al. by quantitatively assessing the magnitude and direction of market responses to the US Federal Reserve's expansionary unconventional monetary policy announcements during the 2008 global financial crisis. Unlike Hattori et al., who examined the equity tail risk, we extend their analysis by investigating the impact on market participants' risk aversion using the real‐world probability density obtained via the Ross recovery theorem. Risk aversion is proxied using the variance and skew risk premiums that are obtained from higher moments of both the real‐world and risk‐neutral distributions. We show that expansionary unconventional monetary policy announcements had a significant mitigating effect on risk aversion. Furthermore, we show that quantitative easing announcements had a more significant impact on risk aversion than forward guidance announcements. This provides quantitative support regarding the difference in transmission channels between than forward guidance and quantitative easing announcements.