A PROLONGED PERIOD OF LOW INTEREST RATES: UNINTENDED CONSEQUENCES
A PROLONGED PERIOD OF LOW INTEREST RATES: UNINTENDED CONSEQUENCES
| Author: | Simona Malovaná Josef Bajzík Dominika Ehrenbergerová Jan Janků |
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| Type: | IES Occassional Papers | |
| Year: | 2021 | |
| Number: | 1 | |
| ISSN / ISBN: | ||
| Published in: | IES Occassional Papers 1/2021 | |
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Prague | |
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financial stability, financial vulnerabilities, low interest rates, monetary policy, natural rate of interest | |
| JEL codes: | E52, E58, G2 | |
| Suggested Citation: | Malovaná S., Bajzík J., Ehrenbergerová D., Janků J. (2021): "A Prolonged Period of Low Interest Rates: Unintended Consequences" IES Occassional Papers 1/2021. IES FSV. Charles University. | |
| Abstract: | Based on intraday data for a large cross-section of individual stocks and Exchange traded funds, we show that short-term as well as long-term fluctuations of realized market and average idiosyncratic higher moments risks are priced in the cross-sectionof asset returns. Specifically, we find that market and average idiosyncratic volatility and kurtosis are significantly priced by investors mainly in the long-run even if controlled by market moments and other factors, while skewness is mostly short-run phenomenon. A conditional pricing model capturing the time-variation of moments confirms downward-sloping term structure of skewness risk and upward-sloping term structure of kurtosis risk, moreover the term structures connected to market skewness risk and average idiosyncratic skewness risk exhibit different dymanics. | |
| Downloadable: | op_2021_01_malovana, bajzik, ehrenbergerova, janku.pdf |
