stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … (“uncertainty”), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …. The effect of monetary policy on risk aversion is also apparent in regressions using high frequency data. JEL …

shock affecting only one country. Efficient global risk-sharing imply that expected productivity gains in one country will … international equity transactions that accentuate the role of international risk sharing as a factor for the macroeconomic response … for the productivity gains can further increase the risk exposure of foreign shareholders. The model is calibrated to show …

This note looks at US$ and DM/Euro denominated government bond spreads relative to US and German benchmark bonds before … and after the start of the current financial crisis. The study finds, first, that bond yield spreads before and during the …-benchmark bonds due to higher general risk aversion, and German bonds obtained a safe-haven investment status similar to that of the …

Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of …, we uncover unobserved risk aversion and fundamental uncertainty from the observed time series of the VIX and the credit … amount of information regarding risk aversion whereas credit spreads have a lot to say about both risk aversion and …

In this paper we study the impact of shocks to global risk and global risk aversion (such as Lehman) as well as shocks … securities which are consistently safe haven assets, namely experiencing portfolio inflows when risk is on the rise or perceived … in certain risk measures. We also find that the role of US-based crises and risk shocks is special, with the US not …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …