全球智库信息集成服务系统(G2TT): DP13371 What Option Prices tell us about the ECB's Unconventional Monetary Policies

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP13371
	DP13371 What Option Prices tell us about the ECB's Unconventional Monetary Policies
	Stan Olijslagers; Annelie Petersen; Nander de Vette; Sweder van Wijnbergen
发表日期	2018-12-06
出版年	2018
语种	英语
摘要	We use a series of different approaches to extract information about crash risk from option prices for the Euro-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB measures of Unconventional Monetary Policy. Several messages emerge from the analysis. Announcing policies in general terms without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also, policies directly focused on changing relative asset supplies do seem to have an impact, while measures aiming at easing financing costs of commercial banks do not.
主题	Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations
关键词	Quantitative easing Unconventional monetary policies Exchange rate crash risk Risk reversals Mixed diffusion jump risk models
URL	https://cepr.org/publications/dp13371
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/542182
推荐引用方式 GB/T 7714	Stan Olijslagers,Annelie Petersen,Nander de Vette,et al. DP13371 What Option Prices tell us about the ECB's Unconventional Monetary Policies. 2018.