Unconventional monetary policy announcements and risk aversion: evidence from the U.S. and European equity markets
Unconventional monetary policy announcements and risk aversion: evidence from the U.S. and European equity markets
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非常规货币政策公告与风险规避：来自美国和欧洲股市的证据
DOI：
10.1080/1351847x.2018.1496943
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发表时间：
2018
期刊：
影响因子：
--
通讯作者：
Stephanos Papadamou
中科院分区：
文献类型：
--
作者：
Athanasios P. Fassas;Stephanos Papadamou
摘要本文通过面板数据分析，以方差溢价为代表，考察了非常规货币政策公告对风险规避的作用。本实证分析的目的是通过研究非常规货币政策的宣布对市场的不确定性和风险认知的影响，考察欧美主要股票市场的货币政策风险承担渠道。通过测量风险中性和实现和条件方差之间的差异，我们估计方差溢价，它捕捉了定价问题对期权价格的影响。实证分析表明，宽松的货币政策可以显著降低方差溢价。此外，我们研究了不同市场的风险溢价结构，以确定投资者风险厌恶的潜在差异。
ABSTRACT This paper examines the role of unconventional monetary policy announcements on risk aversion – as proxied by the variance premium – by using panel data analysis. The objective of this empirical analysis is to investigate the risk-taking channel of monetary policy for the major European and U.S. equity markets by studying the impact that the announcements of an unconventional monetary policy has on market uncertainty and risk perception. By measuring the difference between risk-neutral and realised and conditional variance, we estimate the variance premium, which captures the impact that pricing concerns have on the prices of options. The empirical analysis indicates that easing monetary policies can significantly reduce the variance premium. In addition, we examine the risk premium structure across markets to determine the potential differences in investors’ risk aversion.
影响因子：
3
作者：
Junye Li;Gabriele Zinna
通讯作者：
Junye Li;Gabriele Zinna