riskiness of counter parties and issuers is endogenous to the central bank's credit policies and related risk control framework …

Recent interest in 'Risk Management' has highlighted the relevance of Bayesian analysis for robust monetary …

Using regionally disaggregated data on economic activity, we show that risk sharing plays a key role in shaping the … real effects of monetary policy. With weak risk sharing, monetary policy shocks trigger a strong and durable response in … output. With strong risk sharing, the response is attenuated, and output reverts to its initial level over the medium term …

. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In …

, or "uncertainty shocks", are an important model ingredient. First, they account for countercyclical movements in risk … changes in both risk-premia and expected future real rates, uncertainty shocks account for about 1/2 of the variance of long …