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The impact of unconventional monetary policies on perceptions of extreme events at times of crisis

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  • Irma Alonso

Abstract

The European Central Bank’s and the Federal Reserve’s announcements of unconventional monetary policies have contributed to significantly reducing market perceptions of the probability of extreme macro-financial events. This phenomenon has arisen in periods of intense market strain, such as the global financial crisis and the current COVID-19 crisis. These measures have served to mitigate the materialisation of extremely unfavourable events through the feedback loop between the financial sector and the real economy and to ensure adequate monetary policy transmission.

Suggested Citation

  • Irma Alonso, 2020. "The impact of unconventional monetary policies on perceptions of extreme events at times of crisis," Economic Bulletin, Banco de España, issue 4/2020.
    • Handle: RePEc:bde:journl:y:2020:i:12:d:aa:n:42
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    unconventional monetary policy; tail risk; uncertainty; risk-neutral densities; extreme events.;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G01 - Financial Economics - - General - - - Financial Crises
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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