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 …

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 …

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 …

Using data for the major currencies from 1973 to 1994, we apply recent tests of asset price volatility to re … rate and of standard extensions that allow for sticky prices, sluggish money adjustment, and time-varying risk premia …. Consistent with previous evidence from regression-based tests, most of the models that we examine are rejected by our volatility …

Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the … implications of market volatility for the real economy. This paper examines whether the stock market volatility affects real fixed … investment. The empirical evidence obtained from the US data shows that market volatility has independent effects on investment …