Unconventional Monetary Policy and Asset Price Risk /
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 ris...
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| Formato: | Revista |
| Lenguaje: | English |
| Publicado: |
Washington, D.C. :
International Monetary Fund,
2013.
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| Colección: | IMF Working Papers; Working Paper ;
No. 2013/190 |
| Acceso en línea: | Full text available on IMF |