stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

This paper presents empirical evidence that the corporate bond market is forward looking with respect to volatility. I … use the Merton (1974) model to calculate a measure of implied volatility from corporate bond yield spreads. I find that … corporate bond transaction prices contain substantial information about future volatility: When predicting future volatility in …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

The financial crisis has highlighted the need for models that can identify counter-party risk exposures and shock … extend this accounting-based network of interlinked exposures to risk-based balance sheets which are sensitive to changes in … leverage and asset volatility. We conclude that the bilateral cross-sector exposures in the euro area financial system …

. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In … particular, the non-parametric estimator of these densities, which is based on fitting implied volatility curves, is applied to …

the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non …' liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a … 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10 …