Time-varying relationship between conventional and unconventional monetary policies and risk aversion: international evidence from time- and frequency-domains

This paper analyzes the time-varying relationship between risk aversion and both conventional unconventional monetary policy in an international context at different frequencies using a wavelet coherency analysis. Our main results suggest existence of dynamic two variables depending on timescales periods. Thus, short-run negative leading from variable to measure is found for most period, suggesting that reacts more aggressively periods high aversion. Furthermore, during financial crisis, we find long-run index, lax could lead instability. US has also significant effects rates Euro Area, Japan UK.