Front Matter Page
Research Department
Authorized for distribution by Kenneth Rogoff
Contents
I. Introduction
II. Contagion and Risk Appetite
A. Some Market Implications of Shifting Risk Appetites
III. Risk and Risk Appetite: Conceptual Issues
IV. Empirical Measure of Risk Appetite
A. Operational Issues
B. Description and Interpretation
C. Comparing the Index over Past Crises
V. Risk Appetite and Systemic Crises: Empirical Evidence
A. Empirical Results
VI. Concluding Remarks
References
Tables
1. Risk and Returns (October 2000)
2. Risk and Returns (December 2000)
3. Hypotheses Regarding Risk Appetite and Currency Crises
4. Empirical Results for Risk Appetite
5. Diagnostics of Regression Results
6. Prediction of Crises
Figures
1. Quarterly Risk Appetite Index
2. Monthly Risk Appetite Index
3. Significant Levels of Risk Appetite
4. Low and High Risk Appetite
5. Recent Movements in Risk Appetite
6. Correlation Between EMBI and Risk Appetite
7. Correlation Between Credit Spread and Risk Appetite
8. Correlation Between Junk Bond Spreads and Risk Appetite
9. Stylized Risk Appetite Cycle and Currency Crashes
10. Actual and Forecast Global Crises
Appendices
1. Factors Behind Shifts in Investor Risk Appetite
2. Testing the Risk Appetite Index Distribution
Appendix Table
7. Low and High Risk Appetite States