What option prices tell us about the ECB's unconventional monetary policies

Stan Olijslagers, Annelie Petersen, Nander de Vette, Sweder (S.J.G.) van Wijnbergen

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

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Year of publication:	[2018]
Authors:	Olijslagers, Stan ; Petersen, Annelie ; Vette, Nander de ; Wijnbergen, Sweder van
Publisher:	Amsterdam, The Netherlands : Tinbergen Institute
Subject:	Quantitative Easing \| Unconventional Monetary Policies \| Exchange Rate Crash Risk \| risk reversals \| mixed diffusion jump risk models \| Geldpolitik \| Monetary policy \| Quantitative Lockerung \| Quantitative easing \| Optionspreistheorie \| Option pricing theory \| Finanzkrise \| Financial crisis \| Wirkungsanalyse \| Impact assessment \| Eurozone \| Euro area \| Wechselkurs \| Exchange rate \| Volatilität \| Volatility

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Extent:	1 Online-Ressource (circa 42 Seiten) Illustrationen
Series:	Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. TI 2018, 096
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/205285 [Handle]
Classification:	E44 - Financial Markets and the Macroeconomy ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies ; E65 - Studies of Particular Policy Episodes ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10011940034