appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …

A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …

, and simulation results suggest that while the peg amplifies output, consumption and (price and wage) inflation volatility …

The evidence on the inflation impact of aging is mixed, and there is no evidence regarding the volatility of inflation … higher inflation volatility. Our paper is also the first, using this framework, to discuss how aging affects the transmission …

This paper investigates the consequences of exchange rate volatility on the variability of export prices and quantities …

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

reduce macroeconomic volatility. The econometric estimation results from a 30-year panel data set of 15 countries with and … without oil funds suggest that oil funds are associated with reduced volatility of broad money and prices and lower inflation …. However, there is a statistically weak negative association between the presence of an oil fund and volatility of the real …