risk premia, especially for longer maturities …

policy uncertainty on nominal yields, short rates, bond risk premia and the term structure of bond yield volatility … predictor for bond risk premia …

pressure. This study examines the impact of COVID-19 on the systemic risk in eight of the most affected countries. Results … indicate a significant increase in systemic risk during the pandemic. All the sample countries exhibit stagnancy (at an … elevated level) in systemic risk during April 2020 except for China which has shown some recovery. By using the spillover …

This study explores the impact of real economic policy (business condition risk) on the oil-stock nexus risk … the effects of global risk indices, such as the US economic uncertainty index, the crude oil volatility index, and the … geopolitical risk index, on risk connectedness. The study is based on daily data from January 2018 to December 2020 and finds a …

This paper focuses on the impact of economic policy uncertainty on risk spillovers within the Eurozone and contributes …) in the framework of financial systemic risk to sovereign bond market. Accordingly, we attempt (i) to measure the extent … (ii) to identify the determinants of risk spillovers by using a dynamic panel data model with macroeconomic state …

This paper examines how structural policies can influence a country's risk of suffering financial turmoil. Using a … can affect financial stability by either shaping the financial account structure, by reducing the risk of international … financial contagion, or by directly reducing the risk of financial crises. Differentiated capital controls are found to affect …