EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/27691
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorUhlenbrock, Birgiten_US
dc.date.accessioned2009-07-20en_US
dc.date.accessioned2009-08-13T10:00:49Z-
dc.date.available2009-08-13T10:00:49Z-
dc.date.issued2009en_US
dc.identifier.isbn978-3-86558-525-7en_US
dc.identifier.urihttp://hdl.handle.net/10419/27691-
dc.description.abstractAssessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this evolution, focusing on the Global Risk Appetite Index (GRAI) class of indicators going back to Kumar and Persaud (2002). Looking at international stock indices during the subprime crisis in 2007, the plausibility of the GRAIs benefits from applying the rank correlation approach of Kumar and Persaud (2002) combined with a modified version of the factor-transformation extension proposed by Misina (2006).en_US
dc.language.isoengen_US
dc.publisherDeutsche Bundesbank Frankfurt am Mainen_US
dc.relation.ispartofseriesDiscussion Paper Series 2: Banking and financial studies 2009,08en_US
dc.subject.jelG11en_US
dc.subject.jelG12en_US
dc.subject.jelG15en_US
dc.subject.ddc330en_US
dc.subject.keywordRisk appetite indicatorsen_US
dc.subject.keywordrisk aversion indicatorsen_US
dc.subject.keywordasset pricingen_US
dc.subject.keywordfinancial markets.en_US
dc.subject.stwRisikopräferenzen_US
dc.subject.stwAnlageverhaltenen_US
dc.subject.stwIndexen_US
dc.subject.stwIndexberechnungen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwAktienindexen_US
dc.subject.stwInternationaler Finanzmarkten_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwBörsenkriseen_US
dc.subject.stwWelten_US
dc.titleFinancial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicatorsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn605027579en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp2:200908-
Appears in Collections:Discussion Paper Series 2: Banking and Financial Studies, Deutsche Bundesbank

Files in This Item:
File Description SizeFormat
605027579.PDF1.45 MBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.