volatility risks), contagion effects, and idiosyncratic factors. While idiosyncratic factors explain a large amount of the …

This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the …

Volatility in financial markets has forced economists to reexamine the validity of the efficient markets hypothesis … studies have found evidence of excessive volatility. In the aftermath of the stock market crash of 1987 and the perceived … increase in market volatility, some economists have advocated additional market regulations. Are these proposed regulations …

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 …

Financial decisions of economic agents are based on volatility considerations. However, no aggregate indicators have … been used by policymakers and regulators to assess the market risk environment. This paper applies a market volatility … indicator to analyze the Israeli''s transition toward inflation targeting. Unlike conventional measures of volatility, it shows …

We study whether clarity of central bank inflation reports affects return volatility in financial markets. We measure … relationship between clarity and market volatility prior to and during the early stage of the global financial crisis. As the …

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 …

How does access to credit impact consumption volatility? Theory and evidence from advanced economies suggests that … volatile than income, indicates that financial reform further increases the volatility of consumption relative to output. We … consumption volatility. Calibration of the model for pre and post financial reform in India provides support for the model's key …