spot prices, although only in the short run. Moreover, financial activity appears to have exacerbated the volatility in the …

sectoral regional inflation rates and exhibits much less volatility than previous findings for the US indicate. We further …

volatility. In contrast, demand shocks had the largest impact on these variables before the 1990s. We also document changes in …

producer currency invoicing by eurozone countries is primarily caused by a drop in inflation volatility and can only to a small …

In this paper we propose a new methodology to estimate the volatility of interest rates in the euro area money market … liquidity risk. The measure is constructed as the implied instantaneous volatility of a consol bond that would be priced on the … historical volatility, in the sense that dividing the consol excess returns by this volatility removes nearly entirely excess of …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

volatility of returns. Moreover, we are able to predict all the conditional covariances among the observable series …

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional … variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the …

using a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate …