Replication data for: The Response of Tail Risk Perceptions to Unconventional Monetary Policy

Vladyslav Sushko, Andreas Schrimpf & Masazumi Hattori
We examine the impact of unconventional monetary policy (UMP) on stock market tail risk and risks of extreme interest rate movements. We find that UMP announcements substantially reduced option-implied equity market tail risks and interest rate risks. Most of the impact derives from forward guidance rather than asset purchase announcements. Communication about the future path of policy rates reduced volatility expectations of long-term rates and the associated risk premia. The reaction of equity market tail...
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