investors for the commodity price risk. Commodity producers differ in their exposure to the export price risk. Exchange rate …-commodity price covariance, procyclical interest rates, negative price of exchange rate volatility, and countercyclical currency risk … premium arise endogenously. Empirically, risk factors implied by the model explain up to 55% of time-series variation in carry …

The risk sensitivity of international capital flow pressures is explored using a new Exchange Market Pressure index … masked by foreign exchange interventions and policy rate adjustments. The sensitivity of capital flow pressures to risk … between normal times and extreme stress events. Across countries, risk sensitivities and safe-haven status are associated with …

We study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating …. Communication shocks from the US spill over to risk in the euro area and vice versa, but traditional US shocks show no spillover … effects to risk. Both monetary policy and communication shocks spill over to stocks, with euro area information spillovers …