We use a series of different approaches to extract information about crash risk from option prices for the Euro …-Dollar exchange rate, with each step sharpening the focus on extracting more specific measures of crash risk around dates of ECB … without precisely describing what exactly they entail does not move asset markets or actually increases crash risk. Also …

The variance risk premium represents the compensation paid to index option sellers for the risk of losses following … upward movements in realized market return volatility. Common wisdom connects these spikes with elevated uncertainty on … produce a sizable and volatile variance risk premium. These shocks coincide with major events such as the LTCM/Russian crisis …

increases, so does the risk that a restrictive forward guidance shock will increase rather than decrease stock prices. This …

link between monetary policy rate uncertainty and equity return volatility, both in theory and data. This paper uses …Asset pricing models assume the risk-free rate to be a key factor for equity prices. Hence, there should be a strong … for equity variance and volatility at weekly, monthly and even quarterly horizons. The findings imply that market views of …

, thereby lowering interest rate volatility and contributing to economic stability. Most empirical studies support this view … volatility. To extend the literature, I use the Dincer and Eichengreen (2007) transparency index for twenty-four economies of … varying income and examine the impact of transparency on both predictability and market volatility. I find that higher …

, thereby lowering interest rate volatility and contributing to economic stability. Most empirical studies support this view … volatility. To extend the literature, I use the Dincer and Eichengreen (2007) transparency index for twenty-four economies of … varying income and examine the impact of transparency on both predictability and market volatility. I find that higher …

volatilityinduced stationarity. Our model employs a leveldependent conditional volatility that maintains stationarity despite the …

Central bank lending to commercial banks is typically collateralized which reduces central bank's credit risk exposure … credit risk in central bank's repo portfolios. In the model default times of counterparties and collateral issuers are …