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DP17101 Volatility (Dis)Connect in International Markets 智库出版物
2022
作者:  Ric Colacito;  Mariano Massimiliano Croce;  Yang Liu;  Ivan Shaliastovich
收藏  |  浏览/下载:10/0  |  提交时间:2022/09/22
Volatility risk  Foreign exchange disconnect  Risk sharing  
DP16555 Exchange Rate Disconnect and the General Equilibrium Puzzle 智库出版物
2021
作者:  Yu-chin Chen;  Ippei Fujiwara;  Yasuo Hirose
收藏  |  浏览/下载:9/0  |  提交时间:2022/09/22
exchange rate  risk premium  international risk sharing  stochastic volatility  nonlinear estimation  
Integrating climate change into the financial stability framework 智库出版物
2021
作者:  Timo Löyttyniemi
收藏  |  浏览/下载:8/0  |  提交时间:2022/09/22
Climate change  Risk  Financial stability  Government debt  Volatility  Central bank  
Default expectations and currency movements 智库出版物
2021
作者:  Pasquale Della Corte;  LUCIO SARNO;  Maik Schmeling;  Christian Wagner
收藏  |  浏览/下载:8/0  |  提交时间:2022/09/22
Sovereign default  Exchange rates  risk premium  Volatility  Sovereign risk  Credit default swap  
DP16065 Uncertainty in the Analytic Climate Economy 智库出版物
2021
作者:  Christian Traeger
收藏  |  浏览/下载:14/0  |  提交时间:2022/09/22
Climate change  Integrated assessment  Uncertainty  Risk aversion  Social cost of carbon  Damages  adaptation  Long-run risk  Endogenous risk  stochastic volatility  
The dissonance of the short and long term 智库出版物
2019
作者:  Jon Danielsson;  Robert Macrae
收藏  |  浏览/下载:8/0  |  提交时间:2022/09/22
Risk  Predictions  Risk management  probability shifting  Volatility  
DP13490 Does Central Bank Tone Move Asset Prices? 智库出版物
2019
作者:  Maik Schmeling;  Christian Wagner
收藏  |  浏览/下载:9/0  |  提交时间:2022/09/22
monetary policy  Central bank communication  Textual analysis  Risk premia  Stock returns  Volatility risk  Credit spreads  
DP13325 Volatility Risk Pass-Through 智库出版物
2018
作者:  Ric Colacito;  Mariano Massimiliano Croce;  Yang Liu;  Ivan Shaliastovich
收藏  |  浏览/下载:5/0  |  提交时间:2022/09/22
Volatility pass-through  Foreign exchange disconnect  Risk sharing  
Stabilising the real economy increases average output 智库出版物
2018
作者:  Karl Walentin;  Andreas Westermark
收藏  |  浏览/下载:4/0  |  提交时间:2022/09/22
Early warning indicators  Financial crises  Risk taking  Volatility  
DP12737 Liquidity Regimes and Optimal Dynamic Asset Allocation 智库出版物
2018
作者:  Pierre collin-dufresne
收藏  |  浏览/下载:6/0  |  提交时间:2022/09/22
Dynamic portfolio choice  Transaction costs  stochastic volatility  Price impact  Risk-parity  Mean-variance