private information influences aggregate volatility. The maximal aggregate volatility is attained in a noise free information …, as in Lucas [14]. For any given variance of aggregate shocks, the upper bound on aggregate volatility is linearly …

A recent literature shows how an increase in volatility reduces leverage. However, in order to explain pro …-cyclical leverage it assumes that bad news increases volatility, that is, it assumes an inverse relationship between first and second … volatility. We show that, in a model with endogenous leverage and heterogeneous beliefs, agents have the incentive to invest …

financial institutions to market participants. In particular, we analyze liquidity and volatility premia on the French …; in the other, which we dub the unconventional regime, monetary policy operations lead to volatility and liquidity premia …

This paper analyzes the relationship between the volatility of corporate bond returns and standard financial and … volatility that distinguishes the short-term dynamics from the long-run component of volatility. Both the in-sample and out …

evaluate the leading role of the daily volatility of two major financial variables, namely commodity and stock prices, in their …

This paper models the relationship between growth and volatility for G7 economies in the time period 1960-2009. It … delivers for the first time estimates of this relationship based on a logarithm variant of stochastic volatility in mean (SV … show that output volatility has increased in all countries since the beginning of the financial crisis, which illustrates …

volatility in more credit constrained firms. …

This paper studies how financial development affects the relation between average growth and growth volatility through … volatility is more likely to be negative in developing countries, but more likely to be positive in developed economies. Finally …