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Time-varying relationship between conventional and unconventional monetary policies and risk aversion: international evidence from time- and frequency-domains

Author

Listed:
  • Besma Hkiri

    (University of Jeddah)

  • Juncal Cunado

    (University of Navarra, Edificio Amigos)

  • Mehmet Balcilar

    (Eastern Mediterranean University)

  • Rangan Gupta

    (University of Pretoria)

Abstract

This paper analyzes the time-varying relationship between risk aversion and both conventional and unconventional monetary policy in an international context and at different frequencies using a wavelet coherency analysis. Our main results suggest the existence of a dynamic relationship between the two variables depending on timescales and on the periods. Thus, a short-run negative relationship leading from the risk aversion variable to the monetary policy measure is found for most of the period, suggesting that monetary policy reacts more aggressively in periods of high risk aversion. Furthermore, during the financial crisis, we find a long-run negative relationship leading from the monetary policy to the risk aversion index, suggesting that a lax monetary policy could lead to financial instability. US monetary policy has also significant effects on the risk aversion rates in the Euro Area, Japan and the UK.

Suggested Citation

  • Besma Hkiri & Juncal Cunado & Mehmet Balcilar & Rangan Gupta, 2021. "Time-varying relationship between conventional and unconventional monetary policies and risk aversion: international evidence from time- and frequency-domains," Empirical Economics, Springer, vol. 61(6), pages 2963-2983, December.
    • Handle: RePEc:spr:empeco:v:61:y:2021:i:6:d:10.1007_s00181-020-02004-0
    DOI: 10.1007/s00181-020-02004-0
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    Keywords

    Risk aversion; Monetary policy; Wavelet coherency;
    All these keywords.

    JEL classification:

    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

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