We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has … risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK … index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the …

We analyze a range of macrofinancial indicators to extract signals about cyclical systemic risk across 107 economies … patterns over the financial cycle. We find that liquidity and solvency risk indicators tend to be counter-cyclical, whereas … mispricing risk ones are procyclical, and they all lead the credit cycle. Our results lend support to high-level accounts that …

This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of …

Are assets in a landlocked country subject to sea-level rise risk? In this paper, we study the cross-border spillovers … data between 1970 and 2018, we observe that globalization increased the similarity of countries' global climate risk …

sectors via the destruction of capital stocks and jumps in risk premia. These disruptions often entail negative feedback e … explore this causal nexus and the e?ects of rare large disasters resulting in capital losses and rising risk premia. Our …

The growth-at-risk (GaR) framework links current macrofinancial conditions to the distribution of future growth. Its … GaR analysis, policymakers can quantify the likelihood of risk scenarios, which would serve as a basis for preemptive …

vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk …

This paper uses the Growth-at-Risk (GaR) methodology to examine how macrofinancial conditions affect the growth outlook …