The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging …

finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on … risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common …

trend in yield differentials, which is correlated with a measure of aggregate risk. In contrast, liquidity differentials … differentials should increase in both liquidity and risk, with an interaction term of the opposite sign. Testing these predictions … on daily data, we find that the aggregate risk factor is consistently priced, liquidity differentials are priced for a …

The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The …

, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand are larger. Supply …

Repo auctions are multiunit auctions regularly used by central banks to inject liquidity into the banking sector. Banks …