improved since the mid-1980s; that private investment is mostly influenced by the risk of expropriation, the degree of civil … liberty, and the degree of independence of the bureaucracy; and that economic growth is affected by the risk of expropriation …

suggest that idiosyncratic risk is: higher at times of large return outcomes for the asset class as a whole; positively … autocorrelated; and correlated across different asset classes. The implications for risk management are discussed …

Though theory suggests financial globalization should improve international risk sharing, empirical support has been … limited. We develop a simple welfare-based measure that captures how far countries are from the ideal of perfect risk sharing …. We then take it to data and find international risk sharing has, indeed, improved during globalization. Improved risk …

voting decisions. Thus, risk neutral individuals exhibit what we call political risk aversion. Yet individual uncertainty is …

foreign exchange, interest rate, and credit risk. For surveillance purposes, this framework can easily be integrated into one …

This paper estimates an empirical nonstationary panel regression model that tests long-run consumption risk sharing … risk sharing, which is mainly about risks at business cycle frequency. Since our methodology focuses on identifying … cointegrating relationships while allowing for arbitrary short-run dynamics, we can obtain a consistent estimate of long-run risk …

in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently … explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly …: previously, it could be found among those sovereigns hit hard by the financial crisis, such as Austria, the Netherlands, and …