Foreign investors' changing appetite for risk-taking have been shown to be a key determinant of the global financial … cycle. Such fluctuations in risk sentiment also correlate with the dynamics of UIP premia, capital flows, and exchange rates …. To understand how these risk sentiment changes transmit across borders, we propose a two-country macroeconomic framework …

prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated … effects. Instead, the evidence points to a direct effect on investors' risk-taking capacity. Our findings show that a …

studies conducted in eleven countries to explore liquidity risk transmission. Among the main results is, first, that … explanatory power of the empirical model is higher for domestic lending than for international lending. Second, how liquidity risk … management across global banks can be important for liquidity risk transmission into lending. Fourth, there is substantial …

counterfactual methods to incorporate our model's endogenous risk reduction mechanism and apply it to U.S. data. We estimate that FCI …

shock to the sector - a measure of the systemic risk of each sector. Tail centrality is theoretically and empirically very … downstream closeness to final production. The paper then uses the results to analyze the determinants of total tail risk in the … economy to small shocks while increasing the sensitivity to large shocks. Tail risk is strongest in economies that display …

We study aggregate lapsation risk in the life insurance sector. Using the regulatory reporting of historical lapse … risk factors that explain a large fraction of the common variation in lapse rates of the 30 largest life insurance … examine the heterogeneity in risk factor exposures based on policy and policyholder characteristics. Young policyholders with …