We analyze empirical links between the perceived tail-risk of inflation, the policy rate, longer-term interest rates … contemporaneously to domestic and foreign monetary-policy announcements, except for the equity tail risk to foreign policy; (ii) all …

order belief", on asset price volatility. The paper shows that heterogeneous expectations induce higher order beliefs and … that heterogeneous expectation asset pricing models thoretically generate more volatility than rational expectation models … results shows that a model with higher order beliefs generates a level of volatility in line with the price volatility …

explain ratings reasonably well, variations in those economic fundamentals are themselves explained by a small number of world … factors. On the other hand, global financial variables associated with risk aversion are additionally required in order to … risk aversion have become less important for emerging market spreads and that the effect of sub-prime news is less than the …

a time-varying risk premium consistent with that bias. Using ten years of data on FX order flow we find that more than … find that carry trading increases currency-crash risk in that order flow generates negative skewness in FX returns. …