We explore the implications of asset price volatility for the management of monetary policy. We show that it is …

This paper studies three different measures of monthly stock market volatility: the time-series volatility of daily … market returns within the month; the cross-sectional volatility or 'dispersion' of daily returns on industry portfolios …, within the month. Over the period 1962-97 there has been a noticeable increase in firm-level volatility relative to market …

U.S. stock volatility is 33 percent lower during wartime and periods of conflict. This is true even for World Wars I … of the most surprising facts from two centuries of stock volatility data. We propose an explanation for the puzzle: the … reduces stock volatility. The sector level regressions show that defense spending predicts lower stock volatility for firms …

Recent critiques have demonstrated that existing attempts to account for the unemployment volatility puzzle of search … volatility of risk-free rates. We propose a model that is immune to these critiques and solves this puzzle by allowing for …

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

increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net …

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 …