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Replication data for: The Response of Tail Risk Perceptions to Unconventional Monetary Policy

Version
1
Resource Type
Dataset
Creator
  • Hattori, Masazumi
  • Schrimpf, Andreas
  • Sushko, Vladyslav
Publication Date
2015-12-31
Description
  • Abstract

    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' riskbearing constraints. (JEL E52, E58, G12, G13, G14)
Availability
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Relations
  • Is supplemented by
    DOI: 10.1257/mac.20140016 (Text)
Publications
  • Hattori, Masazumi, Andreas Schrimpf, and Vladyslav Sushko. “The Response of Tail Risk Perceptions to Unconventional Monetary Policy.” American Economic Journal: Macroeconomics 8, no. 2 (April 2016): 111–36. https://doi.org/10.1257/mac.20140016.
    • ID: 10.1257/mac.20140016 (DOI)

Update Metadata: 2019-10-13 | Issue Number: 1 | Registration Date: 2019-10-13

Hattori, Masazumi; Schrimpf, Andreas; Sushko, Vladyslav (2015): Replication data for: The Response of Tail Risk Perceptions to Unconventional Monetary Policy. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. http://doi.org/10.3886/E114085V1