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 …

constructed metric in a simple VAR framework I show that real effects are there, that shock to the volatile uncertainty causes … significant downturn/overshoot pattern, and that shock to the persistent component causes severe and prolonged damage …

a significant and long-lasting negative impact on real GDP following an exogenous shock to the banking sector's write …