Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/205285
Authors: 
Olijslagers, Stan
Petersen, Annelie
de Vette, Nander
van Wijnbergen, Sweder
Year of Publication: 
2018
Series/Report no.: 
Tinbergen Institute Discussion Paper TI 2018-096/VI
Abstract: 
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.
Subjects: 
Quantitative Easing
Unconventional Monetary Policies
Exchange Rate Crash Risk
risk reversals
mixed diffusion jump risk models
JEL: 
E44
E52
E58
E65
G12
G13
G14
Document Type: 
Working Paper

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