, using local projections, the paper zooms in on shocks originating in the United States, Europe, and China. Our results …, Europe, and China reduces economic activity in the rest of the world, with the effects being mostly felt in Europe and the …

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 …

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

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for …

The trade discussions between the U.S. and China are on-going. Not much is known about the shape and nature of a … suggest that, in the absence of a meaningful boost in China's domestic demand and imports, bilateral purchase commitments are …, machinery, and electronics by China. At the same time, a deal that puts greater emphasis on commodities would put small …

China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds … that China''s stock market is not immune to the financial crisis, as evidenced by the price and volatility spillovers from … the United States than China''s returns, and past volatility shocks in the United States have a more persistent effect on …

Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate … income required by investors. While this issue has been identified in the market risk setting, it has yet to be recognized in … the credit risk literature. Credit VaR techniques, as typically described, are not an appropriate basis for setting equity …

To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and … value is sevenfold that of an increase. Moreover, the downward bias in systemic risk from ignoring this asymmetric p …