This paper interprets contagion effects as a perceived increase (triggered by events occurring elsewhere) in the … volatility of aggregate shocks impinging on the domestic economy. The implications of this approach are analyzed in a model with … revenue lost in adverse states of nature. Higher volatility of producers' productivity shocks increases both financial spreads …

This paper interprets contagion effects as an increase in the volatility of aggregate shocks impinging on the domestic … capital needs) borrow at a premium from domestic banks. Higher volatility of producers’ productivity shocks increases both …

This paper examines the effect of volatility on the costs and benefits of financial market integration. The basic …

This paper shows that volatility induces adverse first order welfare effects in countries excluded from the global … volatility. We identify the parameters determining the magnitude of the loss -- it is proportional to the autocorrelation of … shocks, to volatility (as measured by the standard deviation of shocks), and to the degree of product differentiation (as …

This paper shows that volatility induces adverse first order welfare effects in countries excluded from the global … volatility. We identify the parameters determining the magnitude of the loss -- it is proportional to the autocorrelation of … shocks, to volatility (as measured by the standard deviation of shocks), and to the degree of product differentiation (as …