market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an … empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By … instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the …

their volatility on trade flows in China, the Euro area and the United States in two broadly defined sectors, agriculture on … unequivocally clear picture of the trade impacts of changes in exchange rates. The impact of exchange rate volatility on trade also … the one hand and manufacturing and mining on the other. It finds that exchange volatility impacts trade flows only …

&D investment and productivity growth are more negatively correlated with sales volatility in more credit constrained firms. …

market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as …

We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large …

with limited memory, then there are rationally formed expectations equilibria exhibiting an excess volatility that no … one from a positive viewpoint, this result suggests that the possibility of excess volatility as an equilibrium phenomenon …

We decompose volatility of a stock market index both in time and scale using wavelet filters and design a probabilistic …

This paper studies empirically the link between remittances and growth volatility by examining the impact of … of moment (GMM) technique for a sample of 63 countries over the 1980-2004 period. The volatility of terms of trade and … inflation is used to proxy for real and monetary volatility, respectively. The results show that the impact of remittances on …

This paper investigates the relationship between trust and macroeconomic volatility. In a cross section of countries … changes in inherited trust over the XXth century to show that increasing trust also decreases volatility across time. Thus … reduces investment volatility but not public expenditure volatility. …