## Unconventional Monetary Policy and Asset Price Risk

_IMF Working Papers, August 30, 2013_

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**Canonical URL:** [Unconventional Monetary Policy and Asset Price Risk](https://www.imf.org/en/publications/wp/issues/2016/12/31/unconventional-monetary-policy-and-asset-price-risk-40914)

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## Bibliographic details
- Authors: Shaun K. Roache, Marina V Rousset
- Published: August 30, 2013
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484383230.001

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### Summary
- Authors: Shaun K. Roache, Marina V Rousset
- Date: August 30, 2013
- Core question: Effects of unconventional monetary policy (UMP) events in the United States on asset price risk.
- Approach: Event study using risk-neutral density functions estimated from options prices for a key exchange rate, an equity index, and five commodities.
- Main conclusion: UMP events that ease policy can help bolster market confidence in times of high uncertainty.

### Key findings
- “Tail risk” diminishes in the immediate aftermath of UMP events, with a particularly strong reduction in downside left tail risk.
- QE1 and QE3 had stronger effects on reducing asset price tail risk than QE2.

### Methodology
- Analysis based on risk-neutral density functions estimated from options prices.
- Event-study framework covering multiple asset classes: a key exchange rate, an equity index, and five commodities.

### Policy implications
- UMP events that serve to ease policies can strengthen market confidence during periods of high uncertainty.
- Differential effectiveness across rounds of quantitative easing (QE1 and QE3 > QE2) suggests the context and design of UMP events matter for their impact on asset price risk.

### Subjects and keywords
- Subjects: Asset prices, Commodity prices, Exchange rates, Financial institutions, Foreign exchange, Futures, Monetary policy, Options, Prices, Unconventional monetary policies
- Keywords: Asset prices, Central Banks and their Policies, Commodity prices, event price distribution, Event Studies, Exchange rates, exercise price, FOMC asset purchase announcement, Futures Pricing, Global, monetary policy, Option Pricing, Options, price characteristic, U.S. dollar, Unconventional monetary policies, WP

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_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/unconventional-monetary-policy-and-asset-price-risk-40914_