different, the risk dynamics share remarkably common features: PC1 shocks come solely from asset volatility, while PC2 shocks …We characterize how risk evolves during a crisis. Using high-frequency data, we find that the first two principal …, we provide novel identification of risk dynamics by linking these changes to news about the virus and epidemiological …

Global risk and risk aversion shocks have distinct distributional impacts on emerging market capital flows and returns …. In particular, we find salient consequences of these different global shocks for tail risk in emerging markets. Open …-end mutual fund trading provides a key mechanism linking shocks facing global investors to extreme capital flow and return …

economic activity decelerates, both unconditionally and following exogenous U.S. monetary policy tightening. We show that the … draw inaccurate conclusions about emerging economies' monetary policy cyclicality due to inherent risk premia in those …

for wealthier and less risk-averse households …

We show that multinational firms transmit shocks across countries through their internal capital markets. We study a …

We document regime change in the U.S. Treasury market post-Global Financial Crisis (GFC): dealers switched from a net …

calibration matching data from the U.S. and G10 currency countries implies that persistent shocks to relative demand, reflected in …We study the source of exchange rate fluctuations using a general equilibrium model accommodating shocks in goods and … financial markets. These shocks differ in their induced comovements between exchange rates, interest rates, and quantities. A …