world to U.S. based equity variance risk. We explore implications for global risk premiums and asset return comovements …Innovations in volatility constitute a potentially important asset pricing risk factor that can be tested using the … exhibit negative loadings on the variance risk factor. These exposures, combined with the average return to the variance swap …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a … pricing perspective, we find little to no evidence against the World CAPM model, where the market consists out of equity …

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 study how monetary policy and risk shocks affect asset prices in the US, the euro area, and Japan, differentiating …. Communication shocks from the US spill over to risk in the euro area and vice versa, but traditional US shocks show no spillover … effects to risk. Both monetary policy and communication shocks spill over to stocks, with euro area information spillovers …