with volatility …

We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized … volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the … Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of …

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 … market returns and the world market return. quot; Our empirical approach is designed to control for other economic events …

the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial … sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to …

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

This paper examines the potential influence of changing volatility in stock market prices on the level of stock market … prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist …. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected …

findings have implications for market-wide volatility - the model-implied correlations alone can explain 44% of the cross …-section of aggregate volatility. The results are robust to controlling for a number of alternative factors put forth by the …

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

) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …