mean and volatility of aggregate consumption growth, by a representative agent with a high elasticity of intertemporal … increasing the persistence of volatility fluctuations and their impact on stock prices. This calibration fits the predictive … power of stock prices for future consumption volatility, but implies much greater predictive power of stock prices for …

introduce a model for asset return dynamics with a drift component, a volatility component and mutually exciting jumps known as …

The VIX, the stock market option-based implied volatility, strongly co-moves with measures of the monetary policy … stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility …

role for credit growth (beyond its role in constructing the inflation forecast) would reduce the volatility of output and …

formulate and examine precise and separate measures of return spillovers and volatility spillovers. Our framework facilitates … evidence of divergent behavior in the dynamics of return spillovers vs. volatility spillovers: Return spillovers display a … gently increasing trend but no bursts, whereas volatility spillovers display no trend but clear bursts …

informed traders also know. There can be multiple herding equilibria, and herding speculators may even choose to study …

that, after monetary policy announcements, the conditional volatility rises more for firms with stickier prices than for …

help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer …

reservations about the impact of foreign speculators on both expectedquot; returns and market volatility. We propose a cross … depositary receipts country funds and other financial instruments, in an extranational market and market volatility in emerging … statistically weak. The effects on volatility and correlation are less robust.quot …