In this paper, we examine the evolution of the S&P500 returns volatility around market crashes using a Markov …-Switching model. We find that volatility typically switches into the high volatility state well before a crash and remains in the high … volatility by uniformed traders result in a crash. …

autoregression, we derive return and volatility spillover indices over the rolling sub-sample windows. We show that there is … substantial difference between the behavior of the East Asian return and volatility spillover indices over time. While the return … spillover index reveals increased integration among the East Asian equity markets, the volatility spillover index experiences …

This study assesses macroeconomic volatility in Costa Rica, based largely on politically weak governments` inability or … unwillingness to effect key reforms. Notable problems include volatility-prone fiscal and monetary policy, structurally weak public …

A growing body of recent macroeconomic evidence suggests that volatility is detrimental to economic growth. The … channels through which volatility affects growth, however, are less clear; substantive evidence based on disaggregate data is … almost non-existent. This paper offers a framework in which policy volatility has an adverse effect on firms' entry into …