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 …

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

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

-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 …

We introduce a new, market-based and forward looking measure of political risk derived from the yield spread between a … factors: global economic conditions, country-specific economic factors, liquidity of the country's bond, and political risk …. We then extract the part of the sovereign spread that is due to political risk, making use of political risk ratings. In …

At a time of historic challenges to the viability of the Eurozone, we assess the contribution of the EU and the Euro to … segmentation is significantly lower for EU versus non- EU members. Bilateral valuation differentials remain lower for EU members …, financial regulation, and interest rate differences. Importantly, we find that EU membership reduces equity market segmentation …

The equity variance risk premium is the expected compensation earned for selling variance risk in equity markets. The … variance risk premium is positive and shows moderate persistence. High variance risk premiums coincide with the left tail of … the risk-neutral entropy and variance of the aggregate market return, refute the bulk of the extant consumption …

the foreign exchange risk premia. In contrast to some previous findings, we conclude that the FF/DM rate exhibits …, our model implies that the foreign exchange risk premium becomes large during speculative crises. A comparison with the …