role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …

mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …

financial stringency from the harvest season, with the rest of the year during the period 1870-1925. Stock volatility in the … period (1870- May 1908). We also find that the volatility of the call loan rate declined nearly 70 percent in September and …

-varying uncertainty (i.e., volatility) about future economic prospects drive asset prices. These two channels of economic risks can …

Although it has been well established that financial volatility is related to news and macroeconomic shocks, there has … consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic wars in 1815 … volatility. Underlying political stability under Pax Britannica seems to be a more likely explanation, however …

In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are …

finance, which emphasize the extreme volatility and boom-bust dynamics of key time series, such as stock prices, credit, and …