Publication detail

A Prolonged Period of Low Interest Rates: Unintended Consequences

Author(s): Mgr. Josef Bajzík , Jan Janků
Mgr. Dominika Ehrenbergerová (Kolcunová) , Jan Janků
PhDr. Simona Malovaná Ph.D., Jan Janků
Type: IES Occassional Papers
Year: 2021
Number: 1
Published in: IES Occassional Papers 1/2021
Publishing place: Prague
Keywords: 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




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