formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can … account for the risk premia and asset price fluctuations. In addition, the model can empirically account for the cross …

qualitatively: (i) equity premium puzzle (ii) risk-free rate-puzzle (iii) excess volatility puzzle (iv) predictability of aggregate …This paper incorporates a time-varying intensity of disasters in the Rietz-Barro hypothesis that risk premia result …-varying amount. This in turn generates time-varying risk premia and thus volatile asset prices and return predictability. Using the …

model of time-varying labor income risk and study the implications of stochastic covariance between labor income and … dividends for the dynamics of the risk premiums on financial wealth and human capital …

conditions like risk sentiment, discussed in the context of the global financial cycle, depends on the characteristics and … provides policy-relevant lessons. International spillovers of monetary policy and risk sentiment through global liquidity … partially alleviated. However, risk migration across types of financial intermediaries underscores the importance of advancing …

finance, which emphasize the extreme volatility and boom-bust dynamics of key time series, such as stock prices, credit, and … relaxing the assumption of rational expectations is a promising strategy, helps theory and evidence go together, and offers a …