We estimate a highly significant price of risk that forecasts global stock and bond returns as a nonlinear function of the VIX. We show that countries’ exposure to the global price of risk is related to macroeconomic risks as measured by output, credit, and inflation volatility, the magnitude of financial crises, and stock and bond market downside risk. Higher exposure to the global price of risk corresponds to both higher output volatility and higher output growth. We document that the transmission of the global price of risk to macroeconomic outcomes is mitigated by the magnitude of stabilization in the Taylor rule, the degree of countercyclicality of fiscal policy, and countries’ tendencies to employ prudential regulations. The estimated magnitudes are quantitatively important and significant, with large cross-sectional explanatory power. Our findings suggest that macroeconomic and financial stability policies should be considered jointly.

中文翻译：

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全球风险和稳定政策价格

我们估计一个很高的风险价格，该价格作为VIX的非线性函数来预测全球股票和债券的收益。我们表明，各国对全球风险价格的承受程度与宏观经济风险有关，该风险由产出，信贷和通胀波动，金融危机的严重程度以及股票和债券市场的下行风险来衡量。全球风险价格的较高敞口对应于较高的产出波动率和较高的产出增长。我们证明，泰勒规则的稳定程度，财政政策的反周期程度以及各国采用审慎监管的趋势可以减轻全球风险价格向宏观经济成果的传导。估计的数量在数量上重要且重要，且具有较大的横截面解释力。