The paper analyses and compares the role that the tightening in liquidity conditions and the collapse in risk appetite … shocks have had a more severe impact on advanced economies, it was mainly the decline in risk appetite that affected emerging … empirical exercise with a Global VAR approach, the findings highlight the diversity of the transmission process. While liquidity …

The paper analyses the transmission of liquidity shocks and risk shocks to global financial markets. Using a Global VAR … strong during the 2010-11 sovereign debt crisis, with risk shocks driving down bond yields in key advanced economies. The … resilient to adverse shocks in 2010-11. Moreover, a flight-to-safety phenomenon across asset classes has become particularly …

unexplained increases in factor loadings as indicative of contagion. We find evidence of systematic contagion from US markets and …

finds that common shocks--key crisis events as well as changes to global liquidity and risk--have exerted a large effect on … risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects shows that common …

risk by borrowers and lenders. The model can also be used to analyse systemic risk due to macroeconomic shocks which may be … assess and price the risk of default. In order to analyse default risk in the macroeconomy, a simple general equilibrium … model with banks and financial intermediation is constructed in which default-risk can be priced. It is shown how the credit …

How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we … propose a simple structural model that includes both Gaussian and disaster risk premia and can be estimated even in samples … risk premia account for about 25% of expected carry trade excess returns in advanced countries. …