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 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 …

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 …

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

This paper studies the role of insider trading in explaining cross-country differences in stock market volatility. The … controls for liquidity/maturity of the market and the volatility of the underlying fundamentals (volatility of real output and …

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 …

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 …