风险开启/风险关闭：衡量投资者风险承受能力的变化

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2025-09-22 DOI:10.1016/j.jimonfin.2025.103438

Anusha Chari , Karlye Dilts Stedman , Christian Lundblad

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引用次数: 0

摘要

本文将风险开启/风险关闭（RORO）定义为全球投资者风险行为的高频变化，这是一个普遍使用的难以捉摸的术语。我们的每日RORO指数从多个维度捕捉投资者随时间变化的风险偏好：发达经济体信用风险、股市波动、融资条件和货币动态。该指数显示出规避风险的偏态和肥尾，表明极端、不稳定事件发生的可能性正在扩大。与其他措施相比，我们的指数以一种简洁的形式反映了投资者行为（以及风险）的多样化来源。RORO指数的实际应用突出了它在理解国际投资组合再配置和收益可预测性方面的重要作用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Risk-on/risk-off: Measuring shifts in investor risk bearing capacity

This paper defines risk-on/risk-off (RORO), an elusive terminology in pervasive use, as high frequency variation in global investor risk taking behavior. Our daily RORO index captures time-varying investor risk appetite across multiple dimensions: advanced economy credit risk, equity market volatility, funding conditions, and currency dynamics. The index exhibits risk-off skewness and fat tails, suggesting its amplifying potential for extreme, destabilizing events. Compared to other measures, our index reflects the diverse provenance of investor behavior (and therefore of risk) in a parsimonious form. Practical applications of the RORO index highlight its valuable role in understanding international portfolio reallocation and return predictability.

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.