01648cas a2200253 a 4500 AALejournalIMF013874 230101c9999 xx r poo 0 0eng d 5.00 USD 9781484383230 1018-5941 BD-DhAAL BD-DhAAL Roache, Shaun. Unconventional Monetary Policy and Asset Price Risk / Shaun Roache, Marina Rousset. Washington, D.C. : International Monetary Fund, 2013. 1 online resource (26 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that 'tail risk' diminishes in the immediate aftermath of UMP events, particularly downside left tail risk. We also find that QE1 and QE3 had stronger effects than QE2. We conclude that UMP events that serve to ease policies can help to bolster market confidence in times of high uncertainty. Mode of access: Internet Rousset, Marina. IMF Working Papers; Working Paper ; No. 2013/190 Full text available on IMF http://elibrary.imf.org/view/journals/001/2013/190/001.2013.issue-190-en.xml IMF e-Library