This study provides empirical support for recent theoretical models that allow for time-varying rare disaster risk. Using a unique database of 447 international political crises during the period 1918–2006, we create a crisis index that shows substantial variation over time. We show that...

Cross sectional return dispersion seems a simple, good, real time gauge of uncertainty. Internationally, cross-sectional return dispersion correlates strongly with all sorts of measures of macroeconomic and political uncertainty like, (global) recessions, international political crises, country...