Search Results

You are looking at 1 - 10 of 87 items for :

  • "asset price risk" x
Clear All
Mr. Shaun K. Roache and Mrs. Marina V Rousset

are defined as assets whose prices tend to decline as measures of broad market uncertainty increase, at least over the short run. We extend this analysis and assess the effect of unconventional monetary policy events (henceforth UMPs) in the United States—including important speeches by Federal Reserve officials and public statements released after Federal Open Market Committee meetings—on the distribution of asset price risk. Our focus on U.S. policies does not imply that the policies of other countries or regions do not affect asset prices, but recognizes the

Mr. Shaun K. Roache and Mrs. Marina V Rousset
We examine the effects of unconventional monetary policy (UMP) events in the United States on asset price risk using risk-neutral density functions estimated from options prices. Based on an event study including a key exchange rate, an equity index, and five commodities, we find that “tail risk” diminishes in the immediate aftermath of UMP events, particularly downside left tail risk. We also find that QE1 and QE3 had stronger effects than QE2. We conclude that UMP events that serve to ease policies can help to bolster market confidence in times of high uncertainty.
International Monetary Fund

relevant, the mission sought to align the tests for the two sectors. Since the system is relatively concentrated, a high degree of coverage was achieved by including a limited number of firms. 7. The STs assess the sensitivity of banks and insurance companies to single-factor shocks to risk types affecting the solvency and liquidity position of institutions . The risk types are interest rates, exchange rates, credit quality, asset price risk, operational risk as well as liquidity risk. For the insurance sector, (life) insurance risks were also assessed. The risk

International Monetary Fund. Research Dept.

Singh Working Paper 13/187 Waste Not, Want Not: The Efficiency of Health Expenditure in Emerging and Developing Economies Francesco Grigoli; Javier Kapsoli Working Paper 13/188 Resource Dependence and Fiscal Effort in Sub-Saharan Africa Alun H. Thomas; Juan P. Treviño Working Paper 13/189 Do Inflows or Outflows Dominate? Global Implications of Capital Account Liberalization in China Tamim Bayoumi; Franziska Ohnsorge Working Paper 13/190 Unconventional Monetary Policy and Asset Price Risk Shaun K. Roache; Marina V. Rousset

International Monetary Fund
Stress testing (ST) was undertaken as part of the Guernsey Financial sector assessment Program (FSAP) Update in order to assess the resilience of the Guernsey financial system to a variety of potential strains. The approach taken was a simulation of the effect of a potential double-dip recession on solvency of Guernsey banks and insurance companies. The STs assess the sensitivity of banks and insurance companies to single-factor shocks to risk types affecting solvency and liquidity position of institutions. The mission recommends that future STs should be risk-based and that macroprudential analysis should be run on a regular basis.
Ding Ding, Xiaoyu Huang, Tao Jin, and Mr. Waikei R Lam
China’s real estate market rebounded sharply after a temporary slowdown in 2014-2015. This paper uses city-level data to estimate the range of house price overvaluation across city-tiers and assesses the main risks of a sharp housing market slowdown. If house prices rise further beyond “fundamental” levels and the bubble expands to smaller cities, it would increase the likelihood and costs of a sharp correction, which would weaken growth, undermine financial stability, reduce local government spending room, and spur capital outflows. Empirical analysis suggests that the increasing intensity of macroprudential policies tailored to local conditions is appropriate. The government should expand its toolkit to include additional macroprudential measures and push forward reforms to address the fundamental imbalances in the residential housing market.