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 …

We estimate a highly significant price of risk that forecasts global stock and bond returns as a nonlinear function of … the CBOE Volatility Index (VIX). We show that countries' exposure to the global price of risk is related to macroeconomic … downside risk. Higher exposure to the global price of risk corresponds to both higher output volatility and higher output …