The global spillovers of unconventional monetary policies on tail risks Articles uri icon

publication date

  • December 2023

start page

  • 1

end page

  • 8

volume

  • 59

International Standard Serial Number (ISSN)

  • 1544-6123

Electronic International Standard Serial Number (EISSN)

  • 1544-6131

abstract

  • This article analyzes the risk spillovers of UMPs of four major central banks on the expectations
    of a market crash in foreign equity markets. The empirical findings show that forward guidance
    measures exhibit a significant cross-border impact on tail risks. Other expansionary UMPs are
    innocuous on inducing risk spillovers to other economies. A classification of reversal UMPs into
    contractionary and tapering provides opposite conclusions: contractionary UMPs shocks exhibit
    a strong and negative cross-border impact on the tail risks of other economic areas, contrary to
    tapering announcements. Both the Fed and ECB unconventional policies induce significant risk
    spillovers with similar magnitudes.

subjects

  • Business
  • Economics

keywords

  • unconventional monetary policy;spillovers;risk-neutral density; tail risk; event study