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Unconventional Monetary Policy and Disaster Risk: Evidence from the Subprime and COVID-19 Crises

SSRN, ISSN: 1556-5068
2020
  • 14
    Citations
  • 10,264
    Usage
  • 113
    Captures
  • 0
    Mentions
  • 0
    Social Media
Metric Options:   Counts1 Year3 Year

Metrics Details

  • Citations
    14
    • Citation Indexes
      13
    • Policy Citations
      1
      • Policy Citation
        1
  • Usage
    10,264
    • Abstract Views
      8,502
    • Downloads
      1,762
  • Captures
    113
    • Readers
      112
    • Exports-Saves
      1
      • SSRN
        1
  • Ratings
    • Download Rank
      19,918

Article Description

We contrast the interventions conducted by the Federal Reserve in response to the subprime and COVID-19 crises with respect to their effectiveness in reducing disaster risk. Using model-free measures of disaster risk derived from daily options data, we document that interventions in response to both crises reduced tail risks in domestic equity markets. Spillover effects are notably distinct. While the subprime interventions are generally characterized by negative spillovers to international equity markets, the responses to the COVID-19 crisis are generally associated with positive spillovers. We interpret these results as consistent with different degrees of protagonism played by Central Banks in the two episodes, emphasizing the importance of a broader participation of monetary authorities in expanding their balance sheets to counteract the effects of major crises.

Bibliographic Details

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