The risk sensitivity of international capital flow pressures is explored using a new Exchange Market Pressure index that combines pressures observed in exchange rate adjustments with model-based estimates of incipient pressures that are masked by foreign exchange interventions and policy rate...

Since the global financial crisis, there has been renewed interest in understanding how monetary policy shocks transmit across countries through risk variables, spurring a literature on the "global financial cycle." This paper studies how (conventional and unconventional) monetary policy shocks...

We analyze the relationship between the stance of Eurozone monetary policy and the implicit risk aversion in the European Stock market prices. We use a structural vector autoregression (SVAR) model as Bekaert et al. (2013) do for the U.S. market. We adapt this model for the European Stock market...