Changes in investors' risk appetite have been used to explain a variety of phenomena in asset markets. And yet, popular indicators of changes in risk appetite typically h[...]

Changes in investors' risk appetite have been used to explain various phenomena in asset markets. And yet, the basis for their use is generally weak: popular indicators o[...]

Historical narratives typically associate financial crises with credit expansions and asset price misalignments. The question is whether some combination of measures of c[...]

In a recent attempt to account for the equity-premium puzzle within a representative-agent model, Cecchetti, Lam, and Mark (2000) relax the assumption of rational expecta[...]

In a recent attempt to explain the equity-premium puzzle, Cecchetti, Lam, and Mark (2000) relax the assumption of rational expectations, and replace it by a form of persi[...]

A distinguishing feature of macro stress testing exercises is the use of macroeconomic models in scenario design and implementation. It is widely agreed that scenarios sh[...]

Changes in risk perception have been used in various contexts to explain shorter-term developments in financial markets, as part of a mechanism that amplifies fluctuation[...]

Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions. The authors focus on one set of entiti[...]

Explanations of changes in asset prices as being due to exogenous changes in risk appetite, although arguably controversial, have been popular in the financial community [...]