This paper evaluates the data from the recent financial crisis to examine the risk spillover effects of financial … markets value at risk (VaR), which captures the extreme behavior of an asset, is considered a measure of risk in an asset or …

frictions create volatility: they add an additional, almost acyclical, entry cost to procyclical job creation costs, thus … volatility puzzle …

With option-implied volatility indices, we identify networks of global volatility spillovers and examine time …-varying systemic risk across global financial markets. The US stock market is the center of the network and plays a dominant role in … the spread of volatility spillover to other markets. The global systemic risks have intensified since the Federal Reserve …

transmission channels for credit risk contagion between sovereign entities. We analyse an intraday dataset for GIIPS countries as … important in the transmission of sovereign risk contagion, but that the importance of the bond market waned during the crisis … news shock, we can show that, during the crisis period, sovereign credit risk was not related to economic fundamentals but …

particular, an increase in the volatility of idiosyncratic productivity shocks significantly decreases aggregate output without …