I extend the evidence on the basic stylized facts documented for the U.S. variance risk premium (VP) and show that …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

This paper investigates the variance risk premium in an international setting. First, I provide new evidence on the …

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 …

We introduce a novel indicator of eurozone exit risk based on American Depositary Receipts(ADRs). We exploit ADR … new devaluated currency, capitalcontrols or trading halts. We are the first to analyze the effects of eurozone exit risk … on banksand non-financial firms. European banks are negatively affected by exit risk of Greece, Irelandand Portugal …

dependent on macroeconomic risk factors and speculative positions. The latter are measured by the net open futures positions … recorded on the CME. While correlated with the standard carry-to-risk and forward discount proxies, net open positions have the …

dollar movements act as a barometer for global risk appetite, but with an important caveat: Throughout our analysis we find …