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- Error bars represent 90% confidence intervals. -0.1-0.08-0.06-0.04-0.02 0 Q5 Q50 Q95 Diff. log(Uncertainty) Diff. log(RA) (a) Bonds -0.12-0.1-0.08-0.06-0.04-0.02 0 0.02 0.04 Q5 Q50 Q95 Diff. log(Uncertainty) Diff. log(RA) (b) Equity Figure 4b: A one standard deviation constituent risk-off (BEX) shock & the distribution of EPFR flows (% of AUM) Notes: This figure summarizes the impact of a one-standard deviation risk-off shock as measured by Bekaert et al (2020). -0.25 -0.15 -0.05 0.05 0.15 LC, Q5 LC, Q50 LC, Q95 USD, Q5 USD, Q50 USD, Q95 logdiff(RA) logdiff(Uncertainty) -.06 -.04 -.02 0 .02 .04 Local Currency Return 0 20 40 60 80 100 Quantile -.15 -.1 -.05 0 .05 .1 USD Return 0 20 40 60 80 100 Quantile Log Diff Risk Aversion Log Diff Uncertainty (a) Bond Returns -0.75 -0.55 -0.35 -0.15 0.05 LC, Q5 LC, Q50 LC, Q95 USD, Q5 USD, Q50 USD, Q95 logdiff(RA) logdiff(Uncertainty) -.4 -.3 -.2 -.1 0 Local Currency Return 0 20 40 60 80 100 Quantile -.5 -.4 -.3 -.2 -.1 0
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- Figure 4a: Impact of a one standard deviation risk-off (BEX) shock on the distribution of EPFR flows (% of AUM) Notes: This figure summarizes the impact of a one-standard deviation risk-off shock as measured by Bekaert et al (2020).
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- Rey, H. (2013). Dilemma not trilemma: The global financial cycle and monetary policy independence. Federal Reserve Bank of Kansas City Economic Policy Symposium. Figure 1: Risk-on/Risk-off Measures -8 -6 -4 -2 0 2 4 6 8 10 12 Risk-on, risk-off Index (z-scores) 1 / 1 / 2 0 0 4 1 / 1 / 2 0 0 6 1 / 1 / 2 0 0 8 1 / 1 / 2 0 1 0 1 / 1 / 2 0 1 2 1 / 1 / 2 0 1 4 1 / 1 / 2 0 1 6 1 / 1 / 2 0 1 8 1 / 1 / 2 0 2 0 Date (a) Time series: RORO 0 .1 .2 .3 .4 Density -8-6 -4-2 0 2 4 6 8 10 12 Risk-on, risk-off Index (z-scores) (b) Histogram: RORO -6 -5 -4 -3 -2 -1 0 1 2 3 4 5 6 Variance risk premium (log diff, z-scores) 1 / 1 / 2 0 0 2 1 / 1 / 2 0 0 4 1 / 1 / 2 0 0 6 1 / 1 / 2 0 0 8 1 / 1 / 2 0 1 0 1 / 1 / 2 0 1 2 1 / 1 / 2 0 1 4 1 / 1 / 2 0 1 6 1 / 1 / 2 0 1 8 1 / 1 / 2 0 2 0
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- USD Return 0 20 40 60 80 100 Quantile Log Diff Risk Aversion Log Diff Uncertainty (b) Equity Returns Figure 4c: Impact of a one standard deviation risk-off shock on the distribution of EPFR flows (% of AUM) Notes: This figure summarizes the impact of a one-standard deviation risk-off shock as measured by Bekaert et al (2020).
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