00000cam 2200000zi 4500 9.963919 CaOODSP 20260630112353 m o d f cr mn||||||||| 260630t20262026onca ob f000 0 eng d CaOODSP eng rda CaOODSP n-us--- FB3-5/2026-17E-PDF Bevilacqua, Mattia. Central bank crisis interventions and the term structure of market fear / Mattia Bevilacqua, Jon Danielsson, Lerby Ergun, Andreas Uthemann, Jean-Pierre Zigrand. [Ottawa] : Bank of Canada = Banque du Canada, 2026. ©2026 1 online resource (52 pages) : illustrations (chiefly colour). text txt rdacontent computer c rdamedia online resource cr rdacarrier Staff working paper = Document de travail du personnel, 1701-9397 ; 2026-17 Incorrect ISSN (1701-9397) printed in this publication. "Last updated: May 25, 2026." Includes bibliographical references (pages 32-33). "We study the impact of Fed crisis interventions on market fears — the perceived risk of large asset price drops. To do so, we develop a methodological framework that allows us to evaluate the causal effect of unexpected Fed actions on changes in market fears. We extract daily fear term structures from options markets with event horizons ranging from two weeks to ten years. We then use high-frequency price movements around crisis announcements for a wide range of financial assets, including FX, equity, and fixed income markets, to isolate the shock component of Fed interventions. We can measure the heterogeneous effects of various crisis tools by classifying Fed announcement shocks into five different policy groups. Applying this to the market turmoil of 2020, we find that the Fed impacts market fear via risk and information effects. The risk channel dominates at short to medium terms and works via asset purchases, whereas the information channel dominates at longer terms and operates via interest rate policies"--Abstract, page [1]. Banks and banking, Central United States Econometric models. Monetary policy United States Econometric models. Intervention (Federal government) United States Econometric models. Financial crises United States Econometric models. Banques centrales États-Unis Modèles économétriques. Politique monétaire États-Unis Modèles économétriques. Intervention (Gouvernement fédéral) États-Unis Modèles économétriques. Crises financières États-Unis Modèles économétriques. Bank of Canada, issuing body. Staff working paper (Bank of Canada) 2026-17. (CaOODSP)9.806221 PDF 1.21 MB https://publications.gc.ca/collections/collection_2026/banque-bank-canada/FB3-5-2026-17-eng.pdf