We propose a new time-varying peaks over threshold model to study tail risk dynamics in equity markets: the laws of …-sorted decile stock portfolios and show that large firm tail risk increases during recessions more than small firms tail risk. Our … risk shocks on the economy. A measure of tail connectedness is proposed: evidence from international equity markets shows …

. Financial diversification and integrated European capital markets are expected to improve risk sharing among households … superiority of either a bank-based or a market-based financial system in promoting growth or reducing macroeconomic volatility … investigate the effect of the structure of the financial system on the volatility of output and investment growth as well as their …

on investors' risk-taking capacity. Overall, our findings show that a byproduct of the United States' central position in …

prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated … effects. Instead, the evidence points to a direct effect on investor’ risk-taking capacity. Our findings show that a byproduct …

and book to market asset classes over troughs. The US small cap premium is related to default risk, although recessions … per se do not on average impact on this premium. Default risk and the inflation risk differential between Canada and the …

prices, bond yields, and risk premia suggests that systematic US monetary policy reactions to news do not drive the estimated … effects. Instead, the evidence points to a direct effect on investors' risk-taking capacity. Our findings show that a …