-markets-generated EPU spillovers on country-level stock market idiosyncratic risk is noticeably larger compared to the effect of emerging … idiosyncratic volatility continues when we utilize various economic, financial, and political risk factors as controls, as well as …

find reliable evidence that green stocks earned higher returns than brown stocks around the world. This outperformance is …

How do commodity price movements affect sovereign default risk over the long-run? Using a novel dataset covering 41 … between commodity risk and sovereign risk across 150 years. We create a novel country-specific commodity price index that …

estimates of ‘GDP-at-Risk’, a summary measure of downside risks. In turn, this yields time-varying estimates of higher GDP … GDP-at-Risk into domestic and foreign sources, we show that foreign shocks are a key driver of domestic macroeconomic tail …

We construct a state-dependent trivariate GARCH-M model to extract state-dependent risk-aversion coefficients around … the 1997-1999 financial meltdown. These coefficients are further used to decompose sector risk into global (systematic … allocation) risk measures. Our investigation shows that diversification benefits of sector-based allocation have increased as a …

that, while the default premium does not contribute to carry trade strategies, the contribution of interest rate risk …, captured by the term premium, is large and increases with maturity. We introduce default risk in an otherwise standard affine …