We show that uncertainty of monetary policy (MPU) commands a risk premium in the US Treasury bond market. Using the … standard bond risk premium predictors based on yield curve and macroeconomic fundamentals. The predictive power of MPU is not …

Bank represent a risk factor for the hedge fund industry as a whole and for ten commonly used strategies in particular …. Using modified event studies and Markov switching models, we find that UMP announcements represent a risk factor for … through breaks in the parameters of the conventional risk factors. Using Chow and Bai-Perron tests, we find that for the …

rate risk in the market (i.e. high volatility). Market impairment or overshoot of exchange rate between two equilibria … could generate high volatility and threaten financial stability due to unhedged exposure to exchange rate risk in the … economy. The rule uses the concept of Value at Risk (VaR) to define FXI triggers. While it provides to the market a hedge …

economic outcomes. Instead, we find evidence of substantial spillover effects on risk premia. Whereas the valuation of eligible … corporate bonds did not change relative to ineligible bonds, the announcement increased investors' appetite for credit risk …, both in the corporate bond market and in the CDS market. Firms timed the decrease in risk premia by substituting toward …

, the announcement produced substantial spillover effects on risk premia. Credit risk premia declined, both in the corporate … ineligible bonds. Firms took advantage of reduced risk premia by issuing riskier bond types. Using a novel and comprehensive …

, the announcement produced substantial spillover effects on risk premia. Credit risk premia declined, both in the corporate … ineligible bonds. Firms took advantage of reduced risk premia by issuing riskier bond types. Using a novel and comprehensive …

We estimate a highly significant price of risk that forecasts global stock and bond returns as a nonlinear function of … the CBOE Volatility Index (VIX). We show that countries' exposure to the global price of risk is related to macroeconomic … downside risk. Higher exposure to the global price of risk corresponds to both higher output volatility and higher output …