Measuring Investors' Risk Appetite
Prasanna Gai and
Nicholas Vause ()
Additional contact information
Prasanna Gai: Bank of England
International Journal of Central Banking, 2006, vol. 2, issue 1
This paper proposes a method for measuring investor risk appetite based on the variation in the ratio of risk-neutral to subjective probabilities used by investors in evaluating possible future returns to an asset. Unlike other indicators advanced in the literature, our measure of market sentiment distinguishes risk appetite from risk aversion, and is reported in levels rather than changes. Implementation of the approach yields results that respond to crises and other major economic events in a plausible manner.
JEL-codes: G10 G12 G13 (search for similar items in EconPapers)
References: Add references at CitEc
Citations: View citations in EconPapers (21) Track citations by RSS feed
Downloads: (external link)
Working Paper: Measuring investors' risk appetite (2005)
Working Paper: Measuring Investors' Risk Appetite (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ijc:ijcjou:y:2006:q:1:a:5
Access Statistics for this article
International Journal of Central Banking is currently edited by Loretta J. Mester
More articles in International Journal of Central Banking from International Journal of Central Banking
Bibliographic data for series maintained by Bank for International Settlements ().