portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …

This paper interprets contagion effects as an increase in the volatility of aggregate shocks impinging on the domestic … capital needs) borrow at a premium from domestic banks. Higher volatility of producers’ productivity shocks increases both …

Using data for the major currencies from 1973 to 1994, we apply recent tests of asset price volatility to re …. Consistent with previous evidence from regression-based tests, most of the models that we examine are rejected by our volatility … “volatility”, however, may disguise the cause of rejection as excessive exchange rate volatility. This a Working Paper and the …

We study equity price volatility in general equilibrium with news shocks about future productivity and monetary policy … asset price volatility. We show that introducing news shocks in a canonical dynamic stochastic general equilibrium model may … not reduce asset price volatility under plausible parameter assumptions. This is because, in general equilibrium, the …

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number … of countries. Periods of high volatility are identified and compared with periods of financial difficulty. The results … indicate that GARCH models of volatility could be potentially useful in assessing financial soundness. Daily data are more …

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased … volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper … should lead to a reduction in return volatility as risk is spread among a larger number of investors …

The literature on leverage until now shows how an increase in volatility reduces leverage. However, in order to explain … pro-cyclical leverage it assumes that bad news increases volatility. This paper suggests a reason why bad news is more … often than not associated with higher future volatility. We show that, in a model with endogenous leverage and heterogeneous …