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 …

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 …

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 …

testing of two Granger-causal linkages: the impact of return volatility in a market on intermarket correlation and the impact … of return volatility in one market on the volatility of another. Using daily data from stock, bond, currency, and …