We analyze the relationship between the stance of Eurozone monetary policy and the implicit risk aversion in the … the U.S. Federal Reserve. Our results show that a lax monetary policy decreases risk aversion, bearing out the evidence …

, forward, and option data, we obtain a real-time index of the compensation for global disaster risk exposure. We find that … time-series variation of exchange rates, interest rates, and equity tail risk … than out-of-the-money calls, suggesting a large crash risk of those currencies. To evaluate crash risk precisely, we …

attractive risk-adjusted returns than a static-weight approach. However, the above-cited research has been mostly silent on the … explores this question. It finds that such a dynamic approach would have produced higher absolute returns, and higher risk …

across countries through risk variables, spurring a literature on the "global financial cycle." This paper studies how … (conventional and unconventional) monetary policy shocks affect risk and uncertainty in three large economies: the US, euro area …, and Japan. We construct measures of financial risk factors for each country by decomposing option-implied variances of the …