Detail publikace

A Prolonged Period of Low Interest Rates: Unintended Consequences

Autor: Mgr. Josef Bajzík , Jan Janků
Mgr. Dominika Ehrenbergerová (Kolcunová) , Jan Janků
PhDr. Simona Malovaná Ph.D., Jan Janků
Typ: IES Occassional Papers
Rok: 2021
Číslo: 1
ISSN / ISBN:
Publikováno v: IES Occassional Papers 1/2021
Místo vydání: Prague
Klíčová slova: financial stability, financial vulnerabilities, low interest rates, monetary policy, natural rate of interest
JEL kódy: E52, E58, G2
Citace: 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.
Abstrakt: 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.
Ke stažení: op_2021_01_malovana, bajzik, ehrenbergerova, janku

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