The paper analyses the impact of financial liberalization and reform in emerging markets on the dynamics of capital … liberalization, combined with the cost of absorbing large inflows in emerging eonomies, leads to rich dynamics of capital flows and …, if investors have incomplete information about new emerging markets, and learn over time, there can be high volatility of …

resulting volatility can induce risk-averse transactors who face transaction costs to desert these markets altogether. Thus … thinness and the consequent price volatility may become joint self-perpetuating features of an equity market, whatever the … volatility of asset fundamentals. If, however, appropriate incentive schemes are adopted to encourage entry of additional …

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 …

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 …

-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …

ratios - following intra- and (particularly) interstate liberalization of bank branching restrictions. This effect arises … primarily from convergence in the volatility of state output growth, rather than in its average. The realized industry shares of … output also converge faster to their efficient counterparts following liberalization, particularly for industries that are …

This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily … market returns within the month; the cross-sectional volatility or ‘dispersion’ of daily returns on industry portfolios …, within the month. Over the period 1962–95 there has been a noticeable increase in firm-level volatility relative to market …