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 …

estimate "macro risk factors" that drive "bad" (negatively skewed) and "good" (positively skewed) variation for supply and … significantly contribute to the variation yields, risk premiums and return variances for nominal bonds. While overall bond risk … premiums are counter-cyclical, an increase in demand variance lowers risk premiums …

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

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

-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 …

portfolios. We first establish that parsimonious risk-based factor models capture the covariance structure of the data better …