The Swiss franc safety premium

Swiss Journal of Economics and Statistics

Table 11 Episodes of crisis (stock market volatility shocks)

Event	Period
Gulf War I	August 1990–March 1991
Asian Crisis	June 1997–January 1998
Russian Crisis, LTCM Default	August–September 1998
Dotcom Bust*	April 2001
9/11 Terrorist Attacks	September 2001
Worldcom, Enron Bankruptcy	July–September 2002
Gulf War II	March–May 2003
Credit Crunch, Lehman Default	August 2007–March 2009, October 2008
Greek Government-Debt Crisis*	May 2010–end of sample

All episodes except the ones marked by * are taken from Bloom (2009). Bloom identifies periods of major stock market volatility shocks by analysing the deviations of a stock market volatility series from its detrended mean. I partially extend the length of these periods as the events leading to this increased volatility in stock markets already started earlier and lasted longer than indicated by Bloom and because there is evidence in my time series of extensive market reaction. I followed Maggiori (2013) in adding the event of the dotcom bust, and finally included the the recent Greek government-debt crisis