Risk aversion, uncertainty, and monetary policy in zero lower bound environments
Woon Wook Jang and
Economics Letters, 2017, vol. 156, issue C, 118-122
Bekaert et al. (2013) show that a lax monetary policy decreases both risk aversion and uncertainty, and that shocks to risk aversion and uncertainty induce changes in monetary policy. We extend their analysis for the pre-crisis period to the post-crisis period by using a “shadow short rate” as a proxy for unconventional monetary policies in zero lower bound environments. We find that the empirical link between monetary policy, risk aversion, and uncertainty found in Bekaert et al. (2013) persists even in the post-crisis period, but the link is uncovered only when the shadow short rates are used to measure the monetary policy stance.
Keywords: Monetary policy; Shadow short rate; Risk aversion; Uncertainty (search for similar items in EconPapers)
JEL-codes: E52 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:156:y:2017:i:c:p:118-122
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Series data maintained by Dana Niculescu ().