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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Measuring downside risk perception by investors by using measures based on the volatility smile |
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| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Number of Pages | 70 |
| Date | 2014 |
| Abstract Text | The recent long-lasting recession in numerous economies all around the globe forced central banks to implement new monetary policy measures in order to ease market stress and to stimulate market activity. Many studies emerged in this context in the recent past, investigating the impact of the central bank’s conventional and unconventional monetary policy actions on different markets. Overall, the findings in the literature show that especially unconventional monetary policies helped at fostering market conditions. Another strand of literature investigated the impact of conventional monetary policy on risk premia and some broader measure of risk appetite. Recent work by Hattori et al. (2013) extended the research with respect to the impact of unconventional monetary policy on investors’ perception of downside risk. They gauge investors’ downside risk perception by using information obtained from equity index options and find that unconventional monetary policy announcements and asset purchases by the U.S. Federal Reserve reduced market perception of downside risk. |
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