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Volatility in an Era of Reduced Uncertainty : Lessons from Pax Britannica

Brown, William O. - 2005

Although it has been well established that financial volatility is related to news and macroeconomic shocks, there has … consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic wars in 1815 … volatility. Underlying political stability under Pax Britannica seems to be a more likely explanation, however …

Persistent link: https://www.econbiz.de/10012467364

Practical Volatility and Correlation Modeling for Financial Market Risk Management

Andersen, Torben G. - 2005

What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in...

Persistent link: https://www.econbiz.de/10012467618

Financial Development and the Instability of Open Economies

Aghion, Philippe - 2004

This paper introduces a framework for analyzing the role of financial factors as a source of instability in small open economies. Our basic model is a dynamic open economy model with a tradeable good produced with capital and a country-specific factor. We also assume that firms face credit...

Persistent link: https://www.econbiz.de/10012468447

Disentangling Volatility from Jumps

Ait-Sahalia, Yacine - 2003

Realistic models for financial asset prices used in portfolio choice, option pricing or risk management include both a continuous Brownian and a jump components. This paper studies our ability to distinguish one from the other. I find that, surprisingly, it is possible to perfectly disentangle...

Persistent link: https://www.econbiz.de/10012468781

The Effects of War Risk on U.S. Financial Markets

Rigobon, Roberto - 2003

This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices, a widening of lower-grade corporate spreads, a...

Persistent link: https://www.econbiz.de/10012469089

On the International Financial Architecture : Insuring Emerging Markets

Caballero, Ricardo J. - 2003

volatility, and discusses steps to facilitate the creation of these markets …

Persistent link: https://www.econbiz.de/10012469130

Overreaction and Diagnostic Expectations in Macroeconomics

Bordalo, Pedro; Gennaioli, Nicola; Shleifer, Andrei - National Bureau of Economic Research - 2022

finance, which emphasize the extreme volatility and boom-bust dynamics of key time series, such as stock prices, credit, and …

Persistent link: https://www.econbiz.de/10013362010

Coordinated Noise Trading : Evidence from Pension Fund Reallocations

Da, Zhi - 2016

pressure and increased volatility in financial markets. Pension funds increased cash holdings as a response. Our findings …

Persistent link: https://www.econbiz.de/10012456514

Self-Oriented Monetary Policy, Global Financial Markets and Excess Volatility of International Capital Flows

Banerjee, Ryan - 2015

This paper explores the nature of macroeconomic spillovers from advanced economies to emerging market economies (EMEs) and the consequences for independent use of monetary policy in EMEs. We first empirically document the effects of US monetary policy shocks on a sample group of EMEs. A...

Persistent link: https://www.econbiz.de/10012456933

One Fundamental and Two Taxes : When Does a Tobin Tax Reduce Financial Price Volatility?

Deng, Yongheng - 2014

We aim to make two contributions to the literature on the effects of transaction costs on financial price volatility … in the Chinese market, on average, between stamp duty increase and price volatility. However, this average effect masks …

Persistent link: https://www.econbiz.de/10012458690