distribution (i.e., risk). It also mitigates the uncertainty about the true distribution of the fundamentals. Agents who lack …

We introduce a new meaure of risk appetite in financial markets, based on the cross sectional behavior of excess … returns. Turning them into probabilities through a Markov Switching model, we define one global risk appetite measure as the … cross-sectional average of the individual probabilities for each asset to be in a "risk appetite" regime. Given the …

systemic real risk realizations; (c) financial integration fosters domestic financial development and the liquidity of equity … in the form of improved countries' growth prospects and lower systemic real risk …