aggregate output across industrial sectors which minimize the economy's long-term volatility for a given level of long …. - Financial development ; Growth ; Volatility ; Diversification ; Mean-variance effciency …

This paper models volatility spillovers from mature to emerging stock markets, tests for changes in the transmission … estimated for 41 emerging market economies (EMEs). Wald tests suggest that mature market volatility affects conditional … variances in local markets rise as well, volatility in mature markets rises more, and this shift is the main factor behind the …

the presence of institutional investors affects volatility and liquidity in secondary bank bond markets. We find that non …’ liquidity conditions, at the cost of significantly increasing volatility of daily returns. The effect translates to more than a … 19% improvement in liquidity conditions and up to 57% increase in daily-return volatility, assuming MMFs hold about 10 …

This paper examines volatility spillovers from changes in the size of the balance sheets of the Federal Reserve (FED … most susceptible to positive volatility spillovers from both the FED and ECB in terms of magnitude. Positive volatility … about ten. By contrast, we find that EME stock markets are subject to negative volatility spillovers. Moreover, we find only …

This paper analyzes the relation between exchange rate volatility and several macroeconomic variables, namely real per … find that lower exchange rate volatility is associated with higher growth (for relatively less financially developed …

OECD data I document that credit market depth mitigates the impact of variations in productivity to output volatility. Then … credit market size and output volatility. The model matches resonably well the reduction in productivity-driven output … volatility implied by the established size of the credit market observed in OECD data. …

following the auctions. This effect is stronger when market volatility is higher. We rationalize both findings using a simple …