. Explicit expressions are given for state prices and consumption-wealth ratios. If utility is logarithmic or endowment growth is …-root process. Hyperbolic and quasi-hyperbolic discount factors can significantly increase the volatility of aggregate wealth and …

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States … primarily from convergence in the volatility of state output growth, rather than in its average. The realized industry shares of … that financial development has important consequences for efficiency and specialization (or diversification) of investments …

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 …

often implies an initial period of overshooting as portfolios adjust. Asset prices will also overshoot. Second, we show that …, if investors have incomplete information about new emerging markets, and learn over time, there can be high volatility of …

micro-based banking production, enables a contrasting characterization of the two great volatility cycles over the … historical period of 1919-2004, and enables this puzzle to be addressed more easily. The volatility divergence is explained by … the upswing in the credit volatility that kept money supply variability from translating into inflation and GDP volatility. …

A gravity model is used to assess the separate effects of exchange rate volatility and currency unions on international … exchange rate volatility, even after controlling for a host of features, including the endogenous nature of the exchange rate …

of noise traders alters the composition of the market and generates excess exchange rate volatility, since noise traders … both create and share the risk associated with exchange rate volatility. In such circumstances, monetary policy can be used … to lower exchange rate volatility without altering macroeconomic fundamentals. …

Fixed exchange rates are less volatile than floating rates. The volatility of macroeconomic variables, such as money …-off between reduced exchange rate volatility and macroeconomic stability. …

velocity volatility at both business cycle and long run frequencies. With filtered velocity turning negative, starting during …

reveal that higher margins have a much stronger negative relation to subsequent volatility in bull markets than in bear … systemic risk. These empirical regularities are consistent with the pyramiding-depyramiding framework of stock prices that US … declines in stock prices. …