Empirical evidence indicates that high oil price volatility has a dampening effect on output in countries that import … of commodity price volatility in commodity exporting countries accounting for both oil and non-oil commodities. To that … significant negative impact of price volatility on real output for oil exporters. Our results for exporters of other commodities …

of high volatility compared to periods of low volatility, using a regime-switching vector autoregression. The lower … that is weaker in high volatility periods. To rationalize our robust empirical results, we use a macroeconomic model in … volatility of aggregate shocks. In low volatility periods, banks lever up, which makes their balance sheets more sensitive to …

framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …