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Medida de aversión al Riesgo Mediante Volatilidades Implícitas Realizadas

Nicolás Álvarez, Antonio Fernandois and Andrés Sagner

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: 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.

Date: 2018-06
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