Using variance risk premiums (VRPs) nonparametrically calculated from equity markets in selected major developed …

This paper studies the impact of international capital flows on asset prices through risk premia. We investigate …

novel measure of eurozone exit risk. We find that while domestic bank stocks are not significantly affected by domestic exit … risk, there is a negative exposure to exit risk of other countries that is channeled through bilateral credit risk. For the … real sector, exposure to eurozone exit risk is heterogeneous among industries and is less negative for more indebted …

crisis, confirming the existence of contagion and the intensification of systemic risk. The introduction of capital flow …