We estimate the pricing of sovereign risk for sixty countries based on fiscal space (debt/tax; deficits/tax) and other … and economically important determinants of market-based sovereign risk. Although the explanatory power of fiscal space … emergence of TED spread as a key pricing factor. However, risk-pricing of the South-West Eurozone Periphery countries is not …

the world than many developing countries. A noteworthy feature of this theory is that financial and property rights …

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 …

Disparity between control and ownership rights gives rise to the risk of tunneling by the controlling shareholder, and …

and to examine two potential explanations of the asymmetry: leverage effects and time-varying risk premiums. Our empirical …

and conditional heteroskedasticity of exchange rates and on the behavior of foreign exchange risk premiums. The model …

-varying) non-Gaussian features of the structural shocks to estimate "macro risk factors" for supply and demand shocks that drive … the good demand variance risk factor. In contrast, the risk factors driving bad variance for both supply and demand shocks … the variation in yields, bond risk premiums and the term premium. While overall bond risk premiums are counter …