This paper interprets contagion effects as an increase in the volatility of aggregate shocks impinging on the domestic … banks borrow at a premium on world capital markets, and domestic producers (whose demand for credit results from working … capital needs) borrow at a premium from domestic banks. Higher volatility of producers’ productivity shocks increases both …

There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and … associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method … of moments (SMM), results suggest that all variants of models which do not take into account stochastic volatility and …

Over the past year, euro area sovereign spreads have exhibited an unprecedented degree of volatility. This paper …

using some pertinent fundamental independent variables, as well as the World Bank institutional quality indexes and other … proxies for the degree of ambiguity in the sample countries. Some World Bank and other indexes are statistically significant …

This paper examines the effects of trade costs on macroeconomic volatility. We first construct a dynamic, two … variability of the trade balance should increase. Trade costs have ambiguous effects on the volatility of other macro variables …

This paper examines the impact of international financial integration on macroeconomic volatility in a large group of … industrial and developing economies over the period 1960-99. We report two major results: First, while the volatility of output … volatility of consumption growth relative to that of income growth has increased for more financially integrated developing …

In this paper we assess the implications of precautionary savings for global imbalances by considering a world economy … model composed by the US, the Euro Area, Japan, China, oil-exporting countries, and the rest of the world. These areas are … assumed to differ only with respect to GDP volatility which is calibrated based on the 1980-2008 period. The model predicts a …

fluctuations in real commodity prices. Increased exchange rate volatility calls for a better understanding of these relations. To … multi-country model, with world market clearing, which incorporates speculative and non-speculative demands for inventories … matters, and that supply and demand elasticities are important in determining the commodity price in world markets above and …

predictions of the theory …