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 …

relative risk aversion. High stock-price volatility can be explained by incorporating time-varying long-run growth rates and …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

risk sharing is better than you think. Conversely, if risks really are not shared internationally, exchange rates should … vary more than they do -- exchange rates are much too smooth. We calculate an index of international risk sharing that … formalizes this intuition in the context of both complete and incomplete capital markets. Our results suggest that risk sharing …

We reconsider the empirical links between volatility and growth between 1970 and 2007. There is a strong and … their economies. The amount of volatility driven by these external factors is highly correlated, cross-sectionally, with the … overall amount of volatility in GDP growth. There is also a strong correlation between a country's average growth rate and the …

data on stock market levels and volatility as proxies for the first and second moments of business conditions. We then use …

In this paper we show that temperature is an aggregate risk factor that adversely affects economic growth. Our argument … temperature (i.e., temperature betas) contains sharp information about the cross-country risk premium; countries closer to the … Equator carry a positive temperature risk premium which decreases as one moves farther away from the Equator. The differences …

risk. Current reporting standards for derivatives exposures are nevertheless inadequate for assessing these systemic risk … contributions. In this paper, I explain how a transparency standard, in contrast to the current standard, would facilitate such risk … lack of standardization, they cannot be aggregated to assess the risk to the system. I highlight the important contribution …