This paper presents insights on U.S. business cycle volatility since 1867 de- rived from diffusion indices. We employ a … volatility across World War I, which is reversed after World War II. While we can generate evidence of postwar moderation …

This paper reexamines U.S. business cycle volatility since 1867. We employ dynamic factor analysis as an alternative to … reconstructed national accounts. We find a remarkable volatility increase across World War I, which is reversed after World War II …

This paper studies the volatility of commodity prices on the basis of a large dataset of monthly prices observed in … evidence does not actually attempt to measure the volatility of prices of individual goods or commodities. The literature tends … to focus on trends in the evolution and volatility of ratios of price indexes composed of multiple commodities and …

estimates of volatility, we present an application dealing with Value-at-Risk (VaR) prediction at different sampling frequencies … factor in the portfolio volatility equation from the estimated vector IMA(1,1) model of squared returns. Empirical results …

volatility into these four sources, quantify their contribution to aggregate volatility, and study how they relate to the stage …, and slowly increases at later stages of development. Third, the volatility of country-specific macroeconomic shocks falls … with the level of development. We argue that many theories linking volatility and development are not consistent with these …

how it depends on volatility. We describe the dynamic feedback properties of leverage, volatility, and asset prices, in …

the volatility of growth has had an impact on the trend rate of growth. In doing so it aims to promote a better … trend rate of growth might have been even higher had the government and central bank been better able to offset volatility …. Utilizing a GARCH-M model, the results of the empirical analysis suggest that the impact of volatility has been either positive …

paper offers a solution to this disagreement, suggesting that volatility carries a positive direct effect, but also a … volatility is then ambiguous. The paper reveals the underlying endogeneity of government size in a balanced panel of 95 countries … increase of volatility lowers growth by up to 0.57 percentage points in a democracy, but raises growth by 1.74 percentage …