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Medida de aversión al Riesgo Mediante Volatilidades Implícitas Realizadas

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  • Nicolás Álvarez
  • Antonio Fernandois
  • Andrés Sagner

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.

Suggested Citation

  • Nicolás Álvarez & Antonio Fernandois & Andrés Sagner, 2018. "Medida de aversión al Riesgo Mediante Volatilidades Implícitas Realizadas," Working Papers Central Bank of Chile 818, Central Bank of Chile.
    • Handle: RePEc:chb:bcchwp:818
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    References listed on IDEAS

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    Cited by:

    1. Etelvina Stefani Chavez & Gastón Milanesi & Gabriela Pesce, 2021. "Aversión al riesgo implícita en los precios de mercado de diferentes activos financieros de Argentina," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-23, Enero - M.

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