We propose several econometric measures of systemic risk to capture the interconnectedness among the monthly returns of … find that all four sectors have become highly interrelated over the past decade, increasing the level of systemic risk in … of market dislocation, and systemic risk arises from a complex and dynamic network of relationships among hedge funds …

growth and real exchange rate changes, a key measure of international risk-sharing …

currently available in the United States offer fixed nominal payouts, rather than an inflation-linked payout stream. After … U.S. private annuity markets provide retirees with inflation-protected retirement income flows. Although there is … effectively no market yet for inflation-indexed annuities in the United States, such products are available in other countries …

uncertainty over the period 1970 to 1995. We construct measures of inflation uncertainty as well as aggregate nominal and real … uncertainty. The results not only corroborate previous findings of an inverse relationship between contract duration and inflation … of this relationship to the various measures of inflation uncertainty that have appeared in the literature …

evidence supports the hypothesis that inflation uncertainty affects interest rates. Interpreted in terms of the risk neutral … when there is uncertainty about inflation rates. It is argued that even with risk neutrality the Fisherian definition of …This paper develops two models, one involving risk neutrality and the other risk aversion, which suggest that inflation …

representation found by Nelson and Plosser (1980) to be consistent with U. S. historical data. The impact of inflation uncertainty on … hypothesis that the initial positive real impact of anticipated money is not temporary. Inflation uncertainty is found to act as …