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

dc.contributor.authorHkiri, Besma
dc.contributor.authorCunado, Juncal
dc.contributor.authorBalcilar, Mehmet
dc.contributor.authorGupta, Rangan
dc.date.accessioned2021-05-18T12:33:23Z
dc.date.issued2021-12
dc.description.abstractThis 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.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2022-01-18
dc.description.librarianhj2021en_ZA
dc.description.sponsorshipThe Ministerio de Economía y Competitividad (ECO2017-83183-R).en_ZA
dc.description.urihttp://link.springer.com/journal/181en_ZA
dc.identifier.citationHkiri, B., Cunado, J., Balcilar, M. et al. Time-varying relationship between conventional and unconventional monetary policies and risk aversion: international evidence from time- and frequency-domains. Empirical Economics 61, 2963–2983 (2021). https://doi.org/10.1007/s00181-020-02004-0.en_ZA
dc.identifier.issn0377-7332 (print)
dc.identifier.issn1435-8921 (online)
dc.identifier.other10.1007/s00181-020-02004-0
dc.identifier.urihttp://hdl.handle.net/2263/79954
dc.language.isoenen_ZA
dc.publisherSpringeren_ZA
dc.rights© Springer-Verlag GmbH Germany, part of Springer Nature 2020. The original publication is available at http://link.springer.comjournal/181. [12 months embargo]en_ZA
dc.subjectRisk aversionen_ZA
dc.subjectMonetary policyen_ZA
dc.subjectWavelet coherencyen_ZA
dc.titleTime-varying relationship between conventional and unconventional monetary policies and risk aversion : international evidence from time- and frequency-domainsen_ZA
dc.typePostprint Articleen_ZA

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