is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more …In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market …

an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …

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 …

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

increase uncertainty through a higher volatility of employment. We use regional data from Germany to test whether openness for … trade has an impact on volatility. We find a downward trend in the unconditional volatility of employment, which has been … interrupted by the re-unification period. Patterns are similar to those for output volatility. The conditional volatility of …