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 …

(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 characterized by young, small …

volatility. This paper focuses on extreme correlation, that is to say the correlation between returns in either the negative or … not for the positive tail. We also find that correlation is not related to market volatility per se but to the market …

Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility … 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive …

This paper presents instrumental variables estimates of the effects of GDP per capita volatility on the size of … government. We show that for a panel of 157 countries spanning more than half a century rainfall volatility has a significant … positive effect on GDP per capita volatility in countries with above median temperatures. In these countries rainfall …

-country differences in the volatility and persistence of fiscal revenue shocks combined with asymmetric information on country … persistent, low volatility countries adjust spending while others resort to borrowing. This difference signals a relative …

structure determines aggregate volatility. We show that the maximal aggregate volatility is attained in a noise free information … the common component, as in Lucas (1972). The upper bound on aggregate volatility is linearly increasing in the variance …

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 …