This paper quantifies the finance uncertainty multiplier (i.e., the magnifying effect of the real impact of uncertainty … stress). Working with a VAR framework and a set-identification strategy which focuses on - but it is not limited to … - restrictions related to these two dates, we estimate the finance uncertainty multiplier to be equal to 2, i.e., credit supply …

exert a large and persistent effect on the volatility of stock returns of acquirers and that this response is crucially … - engender a positive response in acquirers' volatility. Our results suggest that acquisitions affect uncertainty because they …

implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blowʺ narrative is …

This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … passes the usual diagnostic tests based on probability integral transforms, but fails the value at risk (VaR) based … ; weekly returns ; multivariate t ; financial interdependence ; VaR diagnostics ; 2008 stock market crash …