Weakening bargaining power of unions and the increasing integration of the world economy may affect the volatility of … builds distribution risk into a real business cycle model, hypotheses on the determinants of the relative volatility of … capital and labor incomes. This paper documents and explains changes in income volatility. Using a theoretical framework which …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how …

This paper studies how firm-level export performance is affected by Real Exchange Rate (RER) volatility and … than 100,000 Chinese exporters over the 2000-2006 period. We confirm a trade-deterring effect of RER volatility. We find … volatility and that this effect is magnified for financially vulnerable firms. As expected, financial development seems to dampen …

evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns … describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical …

suggests that oil price volatility affects stock returns positively during periods characterised by demand-side shocks in all …

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …From 1963 through 2015, idiosyncratic risk (IR) is high when market risk (MR) is high. We show that the positive …

volatility of the basket. Although, in the past, RMB inclusion would have had negligible impact due to its limited weight, a much …

across countries with lower average stock market volatility, crises are more frequent in countries with poor creditor …

We use a new dataset on non-resource GDP to examine the impact of commodity price volatility on economic growth in a … panel of up to 158 countries during the period 1970-2007. Our main finding is that commodity price volatility leads to a … result, we show that increased commodity price volatility leads to a statistically significant and quantitatively large …

show that a greater reliance on foreign market sales increases the conditional volatility of firms' stock returns. The two … economically significant effect on firm-level volatility, although an increase in the intensity of sales through foreign affiliates … has a stronger effect on volatility than a similar change in firms' export intensity. We also uncover evidence consistent …