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 … activity. The determinants of this volatility are assessed using Stochastic Volatility models to gauge the role played by …

volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis … on volatility that depends on the type of investor trading and on the phase of the business cycle. Buy orders appear to … be more informative than sell orders since they mostly lower volatility in the pre-crisis periods, while sell and post …

This paper presents empirical evidence against the popular perception that macro volatility is exogenous. We obtain tax … effects on macro volatility, explicitly modeling the unobserved variance process. We find a strong empirical link between … taxes and output volatility. Accounting for non-stationarity of taxes and output volatility, we find empirical evidence of a …

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

is correlated across countries with lower average stock market volatility, crises are more frequent in countries with … investment fall by more in countries with poor creditor protection. -- liquidity crisis ; creditor protection ; stock volatility …

Data show that better creditor protection is correlated across countries with lower average stock market volatility … protection. -- liquidity crisis, creditor protection, stock volatility, credit crunch …