We develop a measure of overall financial risk in China by applying machine learning techniques to textual data. A pre …-defined set of relevant newspaper articles is first selected using a specific constellation of risk-related keywords. Then, we … employ topical modelling based on an unsupervised machine learning algorithm to decompose financial risk into its thematic …

We examine the existence of physical and transition climate risk premia in euro area equity markets. To do so, we … develop two novel physical and transition risk indicators, based on text analysis, which are then used to gauge the presence … of climate risk premia. Results suggest that climate risk premia for both, transition and physical climate risk, have …

de-anchoring risk during the last quarter of 2014; while showing a significant reduction after the peak, our de …

. Overall, our results signal a risk of downside de-anchoring of long-term inflation expectations. …

We provide evidence that changes in the equity price and volatility of individual firms (measures that approximate the … fluctuations in a number of countries. Specifically, adding the return and the volatility of firm-level equity prices to aggregate … cross sectional stock market information to macro-prudential aims through an economic Value at Risk. - Business cycle …

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the … common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy … shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification …. By allowing for rich dynamic interaction between the endogenous variables and time-varying volatility in the global …

We propose a Bayesian VAR model with stochastic volatility and time varying skewness to estimate the degree of labour … at risk in the euro area and in the United States. We model the asymmetry of the shocks to changes in the unemployment … rate as a function of real activity and financial risk factors. We find that the conditional distribution of the changes in …