Medida de aversión al Riesgo Mediante Volatilidades Implícitas Realizadas
Antonio Fernandois and
Andres Sagner ()
Working Papers Central Bank of Chile from Central Bank of Chile
In this paper, we estimate risk aversion contained in stock indices, exchange rates, and sovereign bond yields of a sample of developed and emerging countries. In particular, we use the methodology proposed by Bekaert et al. (2013) to decompose various measures of implicit variance into its realized variance and risk aversion components. Our results show a higher, generalized risk appetite during the last years, in a context of low financial volatility and high global political uncertainty. Lastly, we find that risk aversion tends to be higher during periods of financial fragility and recessions, and events of low risk aversion typically precede these episodes.
New Economics Papers: this item is included in nep-knm and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
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:chb:bcchwp:818
Access Statistics for this paper
More papers in Working Papers Central Bank of Chile from Central Bank of Chile Contact information at EDIRC.
Bibliographic data for series maintained by Claudio Sepulveda ().